choleskiDecomposition {optR} | R Documentation |
Function perform choleski decomposition for positive definate matrix (A=LL')
choleskiDecomposition(A, tol = 1e-07)
A |
:Input Matrix |
tol |
: Tolerance |
L: Decomposition matrix
A<-matrix(c(4,-2,2, -2,2,-4,2,-4,11), nrow=3,ncol=3, byrow = TRUE)
chdA<-choleskiDecomposition(A)