The Cholesky decomposition of a matrix. Given a matrix A, the Cholesky Decomposition of A is L such that A = (L)(L.transpose). Only works for symmetric, positive definite matrix A.
https://github.com/lutzroeder/Mapack/blob/master/Source/CholeskyDecomposition.cs
The matrix A to decompose
if A is not symmetric
Readonly
A lower triangular matrix L such that A=(L)(L.transpose) This will ONLY be the case if A is positive-definite.
true if A is positive definite (and therefore we could perform the decomposition)
Given column vector b, solve for x such that Ax=b.
if A is not positive-definite
The Cholesky decomposition of a matrix. Given a matrix A, the Cholesky Decomposition of A is L such that A = (L)(L.transpose). Only works for symmetric, positive definite matrix A.
Link
https://github.com/lutzroeder/Mapack/blob/master/Source/CholeskyDecomposition.cs