MATLAB Function Reference 
Syntax
Description
The chol
function uses only the diagonal and upper triangle of X
. The lower triangular is assumed to be the (complex conjugate) transpose of the upper. That is, X
is Hermitian.
R = chol(X),
where X
is positive definite produces an upper triangular R
so that R'*R
=
X
. If X
is not positive definite, an error message is printed.
[R,p] = chol(X),
with two output arguments, never produces an error message. If X
is positive definite, then p
is 0 and R
is the same as above. If X
is not positive definite, then p
is a positive integer and R
is an upper triangular matrix of order q
=
p1
so that R'*R
=
X(1:q,1:q
).
Examples
The binomial coefficients arranged in a symmetric array create an interesting positive definite matrix.
It is interesting because its Cholesky factor consists of the same coefficients, arranged in an upper triangular matrix.
Destroy the positive definiteness (and actually make the matrix singular) by subtracting 1 from the last element.
Now an attempt to find the Cholesky factorization fails.
Algorithm
For full matrices X
, chol
uses the LAPACK routines listed in the following table.
Real 
Complex 

X double 
DPOTRF 
ZPOTRF 
X single 
SPOTRF 
CPOTRF 
References
[1] Anderson, E., Z. Bai, C. Bischof, S. Blackford, J. Demmel, J. Dongarra, J. Du Croz, A. Greenbaum, S. Hammarling, A. McKenney, and D. Sorensen, LAPACK User's Guide (http://www.netlib.org/lapack/lug/ lapack_lug.html), Third Edition, SIAM, Philadelphia, 1999.
See Also
checkout  cholinc 
© 19942005 The MathWorks, Inc.