Advanced Analysis Library Only
AnalysisLibErrType Cholesky (void *inputMatrix, int matrixSize, void *MatrixR);
Calculates the Cholesky factorization of a real, symmetric positive definite input matrix. If the input matrix is not positive definite, Cholesky returns an error.
The following formula defines the Cholesky factorization of an n-by-n symmetric positive definite matrix A:
A = RTR
where | R is an upper triangular matrix of dimensions n-by-n |
RT is the transpose of R |
Cholesky factorization is similar to LU factorization for symmetric positive definite matrices. If the matrix in your application is positive definite, use Cholesky factorization rather than LU factorization for the following reasons:
Input | ||
Name | Type | Description |
inputMatrix | numeric array | Input square, positive definite matrix. This matrix must be an array of doubles. |
matrixSize | integer | Number of elements in one dimension of the matrix. |
Output | ||
Name | Type | Description |
MatrixR | numeric array | Result matrix of the Cholesky decomposition as an array of doubles. |
Name | Type | Description |
status | AnalysisLibErrType | A value that specifies the type of error that occurred. Refer to analysis.h for definitions of these constants. |