Cholesky Decomposition

For a symmetric, positive definite matrix A, the Cholesky decomposition is a lower triangular matrix L so that A = L*L'.

If the matrix is not symmetric or positive definite, the MatChol(a()) function returns an object that contains a partial decomposition and sets an internal flag that may be queried by the isMatCholSPD(chol) function.

chol = MatChol(a())

- This function returns an object which contains the result of the Cholesky algorithm for symmetric and positive definite. The following funcions return the results of the decomposition.

b = isMatCholSPD(chol)

- Is the matrix symmetric and positive definite?

c() = MatCholTriFactor(chol)

- Return triangular factor.

c() = MatCholSolve(chol, b())

- Solve A*X = B

Linear Algebra

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