cholesky
From matlib v0.9.2
by Michael Friendly
Cholesky Square Root of a Matrix
Returns the Cholesky square root of the non-singular, symmetric matrix X
.
The purpose is mainly to demonstrate the algorithm used by Kennedy & Gentle (1980).
Usage
cholesky(X, tol = sqrt(.Machine$double.eps))
Arguments
- X
a square symmetric matrix
- tol
tolerance for checking for 0 pivot
Value
the Cholesky square root of X
References
Kennedy W.J. Jr, Gentle J.E. (1980). Statistical Computing. Marcel Dekker.
See Also
chol
for the base R function
gsorth
for Gram-Schmidt orthogonalization of a data matrix
Examples
# NOT RUN {
C <- matrix(c(1,2,3,2,5,6,3,6,10), 3, 3) # nonsingular, symmetric
C
cholesky(C)
cholesky(C) %*% t(cholesky(C)) # check
# }
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