chol

chol

In linear algebra, the Cholesky decomposition or Cholesky triangle is a decomposition of a Hermitian, positive-definite matrix into the product of a lower triangular matrix and its conjugate transpose.

References

• http://en.wikipedia.org/wiki/QR_decomposition

chol(M)

Computes the Cholesky decomposition of a given SPD matrix and returns the L matrix which is given by L * L' = M, where L' is the adjungate matrix of L.

Argument M

Matrix

Returns 1. entry

Matrix

Example

chol([4, 12, -16; 12, 37, -43; -16, -43, 98])

Computes the matrix L of the given matrix.