Decompose

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.