CHOLDC
Given a positive-definite symmetric
n
by
n
array
A
, the
CHOLDC
procedure constructs its
Cholesky decomposition A = LL
T
, where
L
is a lower triangular array and L
T
is the transpose of
L
.
CHOLDC is based on the routine
choldc
described in section 2.9 of
Numerical Recipes in C: The Art of Scientific Computing
(Second Edition), published by Cambridge University Press, and is used by permission.
Calling Sequence
CHOLDC,
A, P
Arguments
A
An
n
by
n
array. On input, only the upper triangle of
A
need be given. On output,
L
is returned in the lower triangle of
A
, except for the diagonal elements, which are returned in the vector
P
.
P
An
n
-element vector containing the diagonal elements of
L
.
Keywords
DOUBLE
Set this keyword to force the computation to be done in double-precision arithmetic.
Example
See the description of CHOLSOL for an example using this function.
