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<HTML><HEAD><TITLE>Newmat09 - Cholesky decomposition</TITLE></HEAD><BODY><H2>Cholesky decomposition</H2><A HREF="qr.html"> next</A> - <A HREF="qr.html"> skip</A> - <A HREF="refer.html"> up</A> - <A HREF="index.html"> start</A><P>Suppose <TT>S</TT> is symmetric and positive definite. Then there exists aunique lower triangular matrix <TT>L</TT> such that <TT>L * L.t() = S</TT>.To calculate this use<PRE> SymmetricMatrix S; ...... LowerTriangularMatrix L = Cholesky(S);</PRE>If <TT>S</TT> is a symmetric band matrix then <TT>L</TT> is a band matrix and analternative procedure is provided for carrying out the decomposition:<PRE> SymmetricBandMatrix S; ...... LowerBandMatrix L = Cholesky(S);</PRE></BODY></HTML>?? 快捷鍵說明
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