Cholesky

Description

Computes the Cholesky decomposition of the symmetric positive definite matrix.

Inputs

  1. 'cholesky.mat' — matrix \(V\).

Outputs

  1. 'cholesky.L' — lower triangular matrix \(L\), such that \(V=LL^T\).

IMPORTANT: Be sure to use \(L\) as lower triangular matrix (use numpy.tril or triangularView<Eigen::Lower> ). Upper triangular part may contain unmaintained non-zero elements.

Tests

Use the following commands for the usage example and testing:

./tests/elementary/test_cholesky_transformation.py