Comparing matrix inversions in R - what is wrong with the Cholesky method?

Question

I compared various methods to compute the inverse of a symmetric matrix:

• solve (from the package LAPCK)
• solve (but using a higher machine precision)

Answer 1

You need to pass the Cholesky decomposition to chol2inv:

inv5 = chol2inv(chol(m))

If m is positive definite (which it probably isn't for your not-reproducible input) this should give the same result as the other methods.