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Cholesky factorization

Syntax

Description

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

R = chol(X), where X is positive definite produces an upper triangular R so that R'*R = X. If X is not positive definite, an error message is printed.

[R,p] = chol(X), with two output arguments, never produces an error message. If X is positive definite, then p is 0 and R is the same as above. If X is not positive definite, then p is a positive integer and R is an upper triangular matrix of order q = p-1 so that R'*R = X(1:q,1:q).

Examples

The binomial coefficients arranged in a symmetric array create an interesting positive definite matrix.

It is interesting because its Cholesky factor consists of the same coefficients, arranged in an upper triangular matrix.

Destroy the positive definiteness (and actually make the matrix singular) by subtracting 1 from the last element.

Now an attempt to find the Cholesky factorization fails.

Algorithm

chol uses the algorithm from the LINPACK subroutine ZPOFA. For a detailed description of the use of the Cholesky decomposition, see Chapter 8 of the LINPACK Users' Guide.

References

[1] Dongarra, J.J., J.R. Bunch, C.B. Moler, and G.W. Stewart, LINPACK Users' Guide, SIAM, Philadelphia, 1979.

See Also

cholinc     Sparse Incomplete Cholesky and Cholesky-Infinity factorizations

cholupdate  Rank 1 update to Cholesky factorization



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