Perform Choleski Decomposition of a Positive Definite Symmetric Matrix

Usage

Choleski(x)

Arguments

x A real symmetric matrix

Description

Perform Choleski decomposition of a real positive-definite symmetric Matrix (that was generated using library(Matrix)).

Details

An error will result unless A is strictly positive definite.

Value

A lower triangular Matrix L such that L %*% t(L) = A.

See Also

chol

Examples

### Not usable in R

> library(Matrix)
> A <- Matrix(c(6,3,3,4),2,2)
> Choleski(A)
       [,1]   [,2] 
[1,] 2.4495 0.0000
[2,] 1.2247 1.5811
attr(, "class"):
[1] "LowerTriangular" "Matrix"


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