We compute the quadratic form of a vector and a matrix in an efficient
manner. Let x be a real vector of length p, and let A be
a p x p real matrix. Then, we compute the quadratic form \(q = x' A x\).
quadform(A, x)
| A | matrix of dimension p x p |
|---|---|
| x | vector of length p |
scalar value
A naive way to compute the quadratic form is to explicitly write
t(x) \%*\% A \%*\% x, but for large p, this operation is
inefficient. We provide a more efficient method below.
Note that we have adapted the code from: http://tolstoy.newcastle.edu.au/R/help/05/11/14989.html