CHOLESKY function

Description

Return lower triangular Cholesky factor.

Syntax

CHOLESKY(matrix)

 matrix is a symmetric matrix.

Cholesky decomposition of symmetric matrix $$A$$. Return lower triangular matrix $$L$$ with $$LL^T = A$$. Return NaN as first entry of $$L$$ if $$A$$ is not positive definite.

Only the lower triangular entries of $$A$$ are used.