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