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.