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

Functions
function	modifiedCholesky (in A)
	Given a symmetric matrix $A\in \mathbb{R}\times \mathbb{R}$ , provide a lower triangular matrix 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

◆ modifiedCholesky()

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

A	symmetric matrix $n \times n$ .

Returns: [L, tau]; L: lower triangular matrix; tau: real $\tau$ such that $A + \tau I = L L^T.$

Functions

Detailed Description

Function Documentation

◆ modifiedCholesky()