?? utchol.m
字號:
function C = utchol(P)
%
% for P symmetric and positive definite,
% computes upper triangular C such that
% C*C' = P
%
[n,m] = size(P);
if (n-m) error('non-square argument'); end;
for j=m:-1:1,
for i=j:-1:1,
sigma = P(i,j);
for k=j+1:m,
sigma = sigma - C(i,k)*C(j,k);
end;
C(j,i) = 0;
if (i==j)
C(i,j) = sqrt(max([0,sigma]));
elseif (C(j,j) == 0)
C(i,j) = 0;
else
C(i,j) = sigma/C(j,j);
end;
end;
end;
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