choleskiDecomposition: Function for Choleski Decomposition
In optR: Optimization Toolbox for Solving Linear Systems

Function perform choleski decomposition for positive definate matrix (A=LL')

1	choleskiDecomposition(A, tol = 1e-07)

`A`	:Input Matrix
`tol`	: Tolerance

L: Decomposition matrix

1 2	A<-matrix(c(4,-2,2, -2,2,-4,2,-4,11), nrow=3,ncol=3, byrow = TRUE) chdA<-choleskiDecomposition(A)

optR documentation built on May 1, 2019, 10:32 p.m.

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