Calculates the Cholesky lower triangular factorization or decomposition. For a given matrix A, chol returns a lower triangular matrix L such that A is the matrix product of L and its conjugate transpose. The matrix A can be real or complex but it must be Hermitian and positive-definite.
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Syntax |
Description |
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L = chol(A); |
Returns a lower triangular matrix L that satisfies the equation A = mult(L,ctranspose(L)) |
Example
Find the Cholesky decomposition of a 3x3 matrix.
?A = [4, 12, -16; 12, 37, -43; -16,-43,98]; ?L = chol(A); ?mult(L,ctranspose(L)); #This should be the same as A result: 4 12 -16 12 37 -43 -16 -43 98 result: 2+0i 0+0i 0+0i 6+0i 1+0i 0+0i -8+0i 5+0i 3+0i result: 4+0i 12+0i -16+0i 12+0i 37+0i -43+0i -16+0i -43+0i 98+0i
See Also