Are there any examples of using the package PDMats? For example, how can I find the inverse of a symmetric positive definite matrix?
The best place to start is the package README, then the sources (which show that methods are defined for
Base.inv), so you can just
using PDMats A = randn(4,4) B = PDMat(A*A') inv(B)
That said, are you sure you need an inverse? If you are solving a linear system, you can do it directly with
Thank you. I do need to calculate variance-covariance matrices.
This package is awesome. Thank you for posting a question about it so that I could learn it exists!
You are welcome!