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chinv2.cpp

/*  SCCS @(#)chinv2.c   5.3 07/15/99
** matrix inversion, given the FDF' cholesky decomposition
**
** input  **matrix, which contains the chol decomp of an n by n
**   matrix in its lower triangle.
**
** returned: the upper triangle + diagonal contain (FDF')^{-1}
**            below the diagonal will be F inverse
**
**  Terry Therneau
*/
#include "survS.h"
#include "survproto.h"

void chinv2(double **matrix , int n)
     {
     register double temp;
     register int i,j,k;

     /*
     ** invert the cholesky in the lower triangle
     **   take full advantage of the cholesky's diagonal of 1's
     */
     for (i=0; i<n; i++){
        if (matrix[i][i] >0) {
            matrix[i][i] = 1/matrix[i][i];   /*this line inverts D */
            for (j= (i+1); j<n; j++) {
               matrix[j][i] = -matrix[j][i];
               for (k=0; k<i; k++)     /*sweep operator */
                  matrix[j][k] += matrix[j][i]*matrix[i][k];
               }
            }
        }

     /*
     ** lower triangle now contains inverse of cholesky
     ** calculate F'DF (inverse of cholesky decomp process) to get inverse
     **   of original matrix
     */
     for (i=0; i<n; i++) {
        if (matrix[i][i]==0) {  /* singular row */
            for (j=0; j<i; j++) matrix[j][i]=0;
            for (j=i; j<n; j++) matrix[i][j]=0;
            }
        else {
            for (j=(i+1); j<n; j++) {
               temp = matrix[j][i]*matrix[j][j];
               if (j!=i) matrix[i][j] = temp;
               for (k=i; k<j; k++)
                  matrix[i][k] += temp*matrix[j][k];
               }
            }
        }
     }

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