Optimization: principles and algorithms, by Michel Bierlaire
Functions
modifiedCholesky.m File Reference

Algorithm 11:7: Modified Cholesky factorization. More...

Go to the source code of this file.

Functions

function modifiedCholesky (in A)
 Given a symmetric matrix $ A\in \mathbb{R}\times \mathbb{R}$, provide a lower triangular matrix $L$ and a real $\tau$ such that

\[ A + \tau I = L L^T.\]

. More...

 

Detailed Description

Algorithm 11:7: Modified Cholesky factorization.

Implementation of algorithm 11.7 of [Bier17-book]. This implementation is far from efficient, and is designed for illustrative purposes only. Implementations suggested by [3] and [4], for instance, should be preferred.

Author
Michel Bierlaire
Date
Sat Mar 21 12:28:56 2015

Definition in file modifiedCholesky.m.

Function Documentation

function modifiedCholesky ( in  A)

Given a symmetric matrix $ A\in \mathbb{R}\times \mathbb{R}$, provide a lower triangular matrix $L$ and a real $\tau$ such that

\[ A + \tau I = L L^T.\]

.

Note
Tested with runModifiedCholesky.m
Called by newtonLineSearch
Parameters
Asymmetric matrix $n \times n $.
Returns
[L, tau]
L: lower triangular matrix $L$
tau: real $\tau$ such that $ A + \tau I = L L^T.$
Copyright 2015-2016 Michel Bierlaire