functioncholesky

Return the Cholesky factorization of a symmetric positive definite matrix

Extends from Modelica.Icons.Function (Icon for functions).

Information

Syntax

H = Matrices.cholesky(A);
H = Matrices.cholesky(A, upper=true);

Description

Function cholesky computes the Cholesky factorization of a real symmetric positive definite matrix A. The optional Boolean input "upper" specifies whether the upper or the lower triangular matrix is returned, i.e.

A = H'*H   if upper is true (H is upper triangular)
A = H*H'   if upper is false (H is lower triangular)

The computation is performed by LAPACK.dpotrf.

Example

A  = [1, 0,  0;
      6, 5,  0;
      1, -2,  2];
S = A*transpose(A);

H = Matrices.cholesky(S);

results in:

H = [1.0,  6.0,  1.0;
     0.0,  5.0, -2.0;
     0.0,  0.0,  2.0]

with

transpose(H)*H = [1.0,  6.0,   1;
                  6.0, 61.0,  -4.0;
                  1.0, -4.0,   9.0] //=S

Inputs

Type	Name	Default	Description
Real[:,size(A, 1)]	A		Symmetric positive definite matrix
Boolean	upper	true	= true, if the right Cholesky factor (upper triangle) should be returned

Outputs

Type	Name	Default	Description
Real[size(A, 1),size(A, 2)]	H		Cholesky factor U (upper=true) or L (upper=false) for A = U'U or A = LL'

Revisions

2010/05/31 by Marcus Baur, DLR-RM