Statistica Visual Basic Library of Matrix Functions - MatrixCholeskyDecomposition (Matrix, MatrixResult)
Parameter | Description |
Matrix | name of square, symmetric, positive-definite matrix to decompose (see Arrays in functions) |
MatrixResult | name of result data matrix (see Arrays in functions) |
The MatrixCholeskyDecomposition function will compute the so-called triangular (or Cholesky) decomposition of the symmetric, non-singular Matrix.
For the symmetric input matrix A, the function will compute the (triangular) matrix B, so that B' * B = A, where B' stands for the transpose of matrix B.
- Related topics
- MatrixInverse, MatrixGeneralPseudoInverse, MatrixSweep, MatrixSingularValuesDecomp. For more information on using arrays, see Arrays in functions. For a complete list of matrix functions, see Statistica Visual Basic library of matrix functions.
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