CHOLESKY _ _ _ _ _ _ _ _ _ _ _ _ operator

syntax:

<matrix> :- a positive definite matrix containing numeric entries.

choleskycomputes the cholesky decomposition of <matrix>.

It returns {L,U} where L is a lower matrix, U is an upper matrix, A = LU, and U = L^T.

examples:

F := mat((1,1,0),(1,3,1),(0,1,1)); 


       [1  1  0]
       [       ]
  f := [1  3  1]
       [       ]
       [0  1  1]



on rounded; 

cholesky(F); 

  {
   [1        0               0       ]
   [                                 ]
   [1  1.41421356237         0       ]
   [                                 ]
   [0  0.707106781187  0.707106781187]
   ,
   [1        1              0       ]
   [                                ]
   [0  1.41421356237  0.707106781187]
   [                                ]
   [0        0        0.707106781187]
  }

Related functions: lu_decom.