Attempts to compute the inverse of a symmetric matrix using Cholesky
decomposition. If the matrix is not positive definite, a small ridge
value is added. If it still fails, a diagonal fallback is returned.
Usage
robust_chol2inv(Sigma, eps = 1e-08, fallback_diag = TRUE)
Arguments
- Sigma
A symmetric matrix to invert.
- eps
Ridge value added to the diagonal to regularize the matrix.
- fallback_diag
Logical. If TRUE, return a diagonal matrix
as a fallback when Cholesky fails.
Value
A matrix of the same dimension as Sigma, representing its
regularized inverse.