dynmix (version 2.1)

ldlt: Computes LDL' Matrix Decomposition.

Description

This function decomposes matrix \(V\) into \(V=LDL'\), where \(L\) is a lower triangular matrix with unit diagonal and \(D\) is a diagonal matrix with non-negative terms.

Usage

ldlt(A)

Value

list of

$L

matrix \(L\)

$D

matrix \(D\)

Arguments

A

symmetric positive-definite matrix

References

Zhuang, X., 2020, Lecture Notes in Numerical Analysis (MATH 381), University of Alberta.

Examples

A <- matrix(c(5,1,1,3),2,2)
V <- ldlt(A)
V$L
V$D
V$L %*% V$D %*% t(V$L)
A