Difference between revisions of "Decompose"

Revision as of 21:58, 2 February 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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 [[category:Matrix Functions]]
-Cholesky decomposition of a matrix.
+'''Decompose(C,I,J)'''
-{{stub}}
+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.