C++: Eigen Library: Standard Cholesky decomposition
template<typename _MatrixType, int _UpLo>
class Eigen::LLT< _MatrixType, _UpLo >
Standard Cholesky decomposition (LL^T) of a matrix and associated features.
Example:
MatrixXd A(3,3); A << 4,-1,2, -1,6,0, 2,0,5; cout << "The matrix A is" << endl << A << endl; LLT<MatrixXd> lltOfA(A); // compute the Cholesky decomposition of A MatrixXd L = lltOfA.matrixL(); // retrieve factor L in the decomposition // The previous two lines can also be written as "L = A.llt().matrixL()" cout << "The Cholesky factor L is" << endl << L << endl; cout << "To check this, let us compute L * L.transpose()" << endl; cout << L * L.transpose() << endl; cout << "This should equal the matrix A" << endl;
