Library: | multi |
See also: | chold |
Quantlet: | chol | |
Description: | computes the Cholesky decomposition of a symmetric, positive definite matrix |
Usage: | y = chol(x) | |
Input: | ||
x | n x n matrix | |
Output: | ||
y | n x n matrix, containing the Cholesky decomposition of x |
library("multi") y=chol(eye(2)*2) y
Contents of y [1,] 1.4142 0 [2,] 0 1.4142