chol2inv for Octave?

[Mike Miller]

A friend who uses R a lot was just showing me that to compute the inverse 
of a symmetric positive-definite matrix, R has the function "chol2inv" 
which takes the Cholesky upper triangle of the symmetric PD matrix as 
input and returns the inverse of the symmetric PD matrix as output. 
Thus, one may get the inverse of a symmetric PD matrix 'M' by doing this:

chol2inv(chol(M))

In R, this runs twice as fast as solve(M), which is R's command for 
computing the inverse.  Comparing R to Octave on the same machine and 
using a 1000 x 1000 matrix M, I find that R's solve(M) is slower by about 
25% than Octave's inv(M), but R's chol2inv(chol(M)) is much faster.  In 
fact, chol2inv(chol(M) in R is about as fast as inv(chol(M)) in Octave, 
but R is computing the inverse of M and Octave is computing the inverse of 
chol(M).

So I'm wondering why Octave doesn't have a chol2inv function!  ;-)
Maybe it has one and I just can't find it.

Regards,

Mike



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