Cholesky Decomposition

Decompose a matrix into the Cholesky

choleskymatrix(m)

Arguments

m	a matrix

Value

the matrix L

Details

choleskymatrix decomposes the matrix m into the LU decomposition, such that m == L

See also

Other linear: detmatrix(), gdls(), invmatrix(), iterativematrix, lumatrix(), refmatrix(), rowops, tridiagmatrix(), vecnorm()

Examples

(A <- matrix(c(5, 1, 2, 1, 9, 3, 2, 3, 7), 3))
#>      [,1] [,2] [,3]
#> [1,]    5    1    2
#> [2,]    1    9    3
#> [3,]    2    3    7
(L <- choleskymatrix(A))
#>          [,1]      [,2]      [,3]
#> [1,] 2.236068 0.4472136 0.8944272
#> [2,] 0.000000 2.9664794 0.8764598
#> [3,] 0.000000 0.0000000 2.3306261
t(L) %*% L
#>      [,1] [,2] [,3]
#> [1,]    5    1    2
#> [2,]    1    9    3
#> [3,]    2    3    7