Référence MQL5Méthodes sur les Matrices et les VecteursOpenBLASFactorizationsFactorizationCholesky

FactorizationCholesky

Computes the factorization of a real symmetric or complex Hermitian positive-definite matrix A. The factorization has the form:

A = L * L**T in case of lower triangular or symmetric matrix A

A = U**T * U in case of upper triangular matrix A

where L is lower triangular, U is upper triangular. Lapack function POTRF.

Computing for type matrix<double>

bool  matrix::FactorizationCholesky(
   matrix&         L             // lower or upper triangular matrix
   );

Computing for type matrix<float>

bool  matrix::FactorizationCholesky(
   matrixf&        L             // lower or upper triangular matrix
   );

Computing for type matrix<complex>

bool  matrix::FactorizationCholesky(
   matrixc&        L             // lower or upper triangular matrix
   );

Computing for type matrix<complexf>

bool  matrix::FactorizationCholesky(
   matrixcf&       L             // lower or upper triangular matrix
   );

Parameters

[out] Lower or upper triangular matrix.

Return Value

Return true if successful, otherwise false in case of an error.

Note

The input can be a symmetric (Hermitian), upper triangular or lower triangular matrix. Triangular matrices are assumed to be symmetric (Hermitian conjugated).

FactorizationLDLSyTridPD

FactorizationCholeskySyPS