chol¶

Cholesky factorization

Calling Sequence¶

[R]=chol(X)

:X a symmetric positive definite real or complex matrix. :

If X is positive definite, then R = chol(X) produces an upper triangular matrix R such that R’*R = X.

chol(X) uses only the diagonal and upper triangle of X. The lower triangular is assumed to be the (complex conjugate) transpose of the upper.

Cholesky decomposition is based on the Lapack routines DPOTRF for real matrices and ZPOTRF for the complex case.

W=`rand`_(5,5)+%i*`rand`_(5,5);
X=W*W';
R=chol(X);
`norm`_(R'*R-X)