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linalg[cholesky] - Cholesky decomposition of a matrix
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Calling Sequence
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cholesky(A)
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Parameters
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A
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square, positive definite matrix
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Description
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The routine cholesky computes the cholesky decomposition of the matrix A.
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The result is a lower triangular matrix R such that  .
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This decomposition assumes the matrix A is positive-definite. I.e. R exists with real elements on the diagonal. cholesky will fail with an error when called on a demonstrably non-positive-definite matrix.
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![det(A) = (product(R[i, i], i = 1 .. n))^2](/support/helpjp/helpview.aspx?si=6180/file07292/math76.png) .
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The command with(linalg,cholesky) allows the use of the abbreviated form of this command.
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