Matrix.CholeskyDecomposition(Matrix, Matrix, Matrix, Variable) Method

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Description

Decomposes the matrix A into a triangular form L such that L*L.Transpose() = A, or a triangular form L, a permutation matrix P, and a diagonal matrix D such that P^T*L*D*L^T*P = A. The version used depends on the overload chosen. By default, L will be a lower triangle form, unless an upper triangle form is specified.

Timing Precision Mode

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Method Signature

Matrix.CholeskyDecomposition(	Matrix L,
	Matrix D,
	Matrix P,
	Variable lowerOrUpper)

Arguments

L
Description:	The lower triangular decomposition of the matrix.

D
Description:	The diagonal matrix of the decomposition of the matrix.

P
Description:	The permutation matrix of the decomposition of the matrix.

lowerOrUpper

Description:

Specifies whether to compute the upper or lower Cholesky decomposition. When 'lower' is specified L is a lower triangle matrix. When 'upper' is specified, L is a upper triangle matrix.

Valid Values:

Value	Label
0	lower
1	upper

Syntax

myMatrix1.CholeskyDecomposition(myMatrix2, myMatrix3, myMatrix4, myVariable1);