Cross-product plus diagonal perturbation

Computes \(X^T X + \lambda I\) (scalar lambda) or \(X^T X + \mathrm{diag}(\lambda)\) (vector lambda) in a single fused call.

Usage

crossprod_add_diag(X, lambda)

Arguments

X

Numeric matrix or adgeMatrix of shape [n, p].

lambda

Scalar or numeric vector of length p; diagonal perturbation to add to the cross-product.

Value

An adgeMatrix of shape [p, p]: the perturbed cross-product.

See also

crossprod_weighted

Examples

X <- matrix(rnorm(20), nrow = 5)
crossprod_add_diag(X, lambda = 0.1)
#> An amatrix dense matrix [cpu|policy=auto|precision=strict]
#> 4 x 4 Matrix of class "adgeMatrix"
#>            [,1]       [,2]       [,3]       [,4]
#> [1,]  2.0350580 -0.7507005 -0.2557977  0.2590892
#> [2,] -0.7507005  5.8658975  1.0719273 -2.9140488
#> [3,] -0.2557977  1.0719273  0.8326541 -0.2257762
#> [4,]  0.2590892 -2.9140488 -0.2257762  4.2722464