ldlt | R Documentation |
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.
ldlt(A)
A |
symmetric positive-definite |
list
of
$L |
|
$D |
|
Zhuang, X., 2020, Lecture Notes in Numerical Analysis (MATH 381), University of Alberta.
A <- matrix(c(5,1,1,3),2,2)
V <- ldlt(A)
V$L
V$D
V$L %*% V$D %*% t(V$L)
A
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