Decompose a matrix into the Cholesky
choleskymatrix(m)
m | a matrix |
---|
the matrix L
choleskymatrix
decomposes the matrix m
into the LU
decomposition, such that m == L
Other linear:
detmatrix()
,
gdls()
,
invmatrix()
,
iterativematrix
,
lumatrix()
,
refmatrix()
,
rowops
,
tridiagmatrix()
,
vecnorm()
(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