Optimization: principles and algorithms, by Michel Bierlaire

Algorithm 11:7: Modified Cholesky factorization. More...
Go to the source code of this file.
Functions  
function  modifiedCholesky (in A) 
Given a symmetric matrix , provide a lower triangular matrix and a real such that
. More...  
Algorithm 11:7: Modified Cholesky factorization.
Implementation of algorithm 11.7 of [Bier17book]. This implementation is far from efficient, and is designed for illustrative purposes only. Implementations suggested by [3] and [4], for instance, should be preferred.
Definition in file modifiedCholesky.m.
function modifiedCholesky  (  in  A  ) 
Given a symmetric matrix , provide a lower triangular matrix and a real such that
.
A  symmetric matrix . 