# # === Cholesky decomposition (>= GSL-1.10) # A symmetric, positive definite square matrix A has # a Cholesky decomposition into a product of a lower triangular matrix # L and its transpose L^T. # This is sometimes referred to as taking the square-root of a matrix. # The Cholesky decomposition can only be carried out when all the eigenvalues # of the matrix are positive. This decomposition can be used to convert the # linear system A x = b into a pair of triangular systems # L y = b, L^T x = y, # which can be solved by forward and back-substitution. # # --- # * GSL::Linalg::Complex::Cholesky::decomp(A) # * GSL::Linalg::Complex::cholesky_decomp(A) # # Factorize the positive-definite square matrix A into the # Cholesky decomposition A = L L^H. # On input only the diagonal and lower-triangular part of the matrix A # are needed. The diagonal and lower triangular part of the returned matrix # contain the matrix L. The upper triangular part of the # returned matrix contains L^T, and # the diagonal terms being identical for both L and L^T. # If the input matrix is not positive-definite then the decomposition # will fail, returning the error code GSL::EDOM. # # --- # * GSL::Linalg::Complex::Cholesky::solve(chol, b, x) # * GSL::Linalg::Complex::cholesky_solve(chol, b, x) # # Solve the system A x = b using the Cholesky decomposition # of A into the matrix chol given by # GSL::Linalg::Complex::Cholesky::decomp. # # --- # * GSL::Linalg::Complex::Cholesky::svx(chol, x) # * GSL::Linalg::Complex::cholesky_svx(chol, x) # # Solve the system A x = b in-place using the Cholesky decomposition # of A into the matrix chol given by # GSL::Linalg::Complex::Cholesky::decomp. On input x # should contain the right-hand side b, # which is replaced by the solution on output. # # {back}[link:rdoc/linalg_rdoc.html] #