The Choleski Decomposition
Usage
chol(x)
Arguments
x
|
a symmetric positive-definite matrix.
|
Value
This function computes the Choleski factorization
of the square matrix x
. It returns the upper triangular
factor of the decomposition, i.e., the matrix R such that
R'R = x (see example).References
Dongarra, J. J., J. R. Bunch, C. B. Moler and G. W. Stewart (1978).
LINPACK Users Guide. Philadelphia: SIAM Publications.See Also
backsolve
,
qr
,
svd
.Examples
( m <- matrix(c(5,1,1,3),2,2) )
( cm <- chol(m) )
t(cm) %*% cm #-- = 'm'
all(abs(m - t(cm) %*% cm) < 100* .Machine$double.eps) # TRUE