CMLA

doc: cholpsd

Upper Cholesky decomposition of psd matrix Tries to approach numerically $\lim_{\epsilon \to 0} chol(X+\epsilon I)$

Syntax

 [R] = cholpsd(X)

Arguments

  • X psd matrix (n, n)

Outputs

  • R upper triangular matrix (n, n) such that X=R'R

See also

solve_chol


Copyright © by Emile Contal, 2015. Published under the GNU GPLv3 licence