cholesky

0th

Percentile

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

Aliases
  • cholesky
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

# }
Documentation reproduced from package matlib, version 0.9.2, License: GPL (>= 2)

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