A fast computation I use is based on the following: A <- matrix(rnorm(16), ncol = 4) B <- matrix(rnorm(16), ncol = 4) C <- A %*% B sum(diag(C))
### This is less expensive to compute when the matrix multiplication is expensive sum(A * t(B)) So, it just uses the elementwise calculations and sums over all cels -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Wagner Bonat Sent: Friday, December 06, 2013 12:02 PM To: r-help@r-project.org Subject: [R] Help - Trace of matrices Dear, I need to calculate the following equation tr(Sigma^-1 %*% D.Sigma) I know only Sigma (positive definite) and D.Sigma (derivative of Sigma), a naive code is sum(diag(solve(Sigma,D.Sigma))) but these matrices are dense and big dimension (10000 x 10000), and I need to evaluate this equation many times. What is the better way to evaluate this equation in R ? Note that I need only the diagonal, I think is possible to calculate only the diagnonal, but how ?? -- Wagner Hugo Bonat LEG - Laboratório de Estatística e Geoinformação UFPR - Universidade Federal do Paraná [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
