cholesky

cholesky(matrix: any[] | Mat) : any[]

param matrix - The matrix to decompose using the Cholesky method. Needs to be symmetric (hermitian) and positive definite (if the number z^T*M*z > 0 for every non-zero column vector z for M=input, but one can ignore these details).

returns: any[] - An object holding the matrix L from the decomposition L*L^T = matrix. Accessed via {result}.L.

This function decomposes a positive definite, symmetric (hermitian) matrix using the Cholesky method. It return and object with member L, where L is part of the decomposition, L*L^T = A where A would be the input. If the input is not positive definite an exception will be thrown.