Weighted cross-product X'WX

Computes \(X^T \mathrm{diag}(w) X\), a p x p weighted cross-product. A GPU-resident fast path is used when available.

Usage

crossprod_weighted(X, w)

Arguments

X

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

w

Positive numeric vector of length n; observation weights.

Value

An adgeMatrix of shape [p, p].

See also

tcrossprod_weighted, xty_weighted

Examples

X <- matrix(rnorm(20), nrow = 5)
w <- runif(5)
crossprod_weighted(X, w)
#> An amatrix dense matrix [cpu|policy=auto|precision=strict]
#> 4 x 4 Matrix of class "adgeMatrix"
#>           [,1]      [,2]       [,3]       [,4]
#> [1,] 2.9453675 1.5498585  1.1536397  0.5179425
#> [2,] 1.5498585 1.2960658  0.1666179  0.7701780
#> [3,] 1.1536397 0.1666179  1.7368843 -0.5174326
#> [4,] 0.5179425 0.7701780 -0.5174326  1.3451171