chol(x)
x
| a symmetric positive-definite matrix. |
x. It returns the upper triangular
factor of the decomposition, i.e., the matrix R such that
R'R = x (see example).
Note that effectively, only the upper triangular part of x is
used such that the above only holds when x is symmetric.
chol2inv for its inverse,
backsolve for solving linear systems with upper
triangular left sides.
qr, svd for related matrix factorizations.
( m <- matrix(c(5,1,1,3),2,2) ) ( cm <- chol(m) ) t(cm) %*% cm #-- = 'm' all(abs(m - t(cm) %*% cm) < 100* .Machine$double.eps) # TRUE