Cholesky factorization
R = chol(X)
a square positive definite real symmetric or complex hermitian 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.
![]() | The Cholesky decomposition is based on the Lapack routines DPOTRF for real matrices and ZPOTRF for the complex case. |