Difference between revisions of "Decompose"
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'''Decompose(C,I,J)''' | '''Decompose(C,I,J)''' | ||
Revision as of 07:19, 24 April 2007
Decompose(C,I,J)
Returns the Cholesky decomposition (square root) matrix of matrix C along dimensions I and J. Matrix C must be symmetric and positive-definite. (Positive-definite means that v * C * v > 0, for all vectors v.)
Cholesky decomposition computes a lower diagonal matrix L such that L * L' = C, where L' is the transpose of L.
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