Perform Choleski Decomposition of a Positive Definite Symmetric Matrix
Usage
Choleski(x)
Arguments
x
|
A real symmetric matrix
|
Description
Perform Choleski decomposition of a real positive-definite symmetric
Matrix (that was generated using library(Matrix)
).Details
An error will result unless A
is strictly positive definite.Value
A lower triangular Matrix L
such that L %*% t(L) = A
.See Also
chol
Examples
### Not usable in R
> library(Matrix)
> A <- Matrix(c(6,3,3,4),2,2)
> Choleski(A)
[,1] [,2]
[1,] 2.4495 0.0000
[2,] 1.2247 1.5811
attr(, "class"):
[1] "LowerTriangular" "Matrix"