optR (version 1.2.5)

choleskiDecomposition: Function for Choleski Decomposition

Description

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

Usage

choleskiDecomposition(A, tol = 1e-07)

Arguments

A

:Input Matrix

tol

: Tolerance

Value

L: Decomposition matrix

Examples

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