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mchol

PURPOSE ^

MCHOL

SYNOPSIS ^

function varargout = mchol(m)

DESCRIPTION ^

 MCHOL

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:

SOURCE CODE ^

0001 % MCHOL
0002 function varargout = mchol(m)
0003 
0004   leng = length(m);
0005   for i=1:leng
0006     dets(i) = det(m(1:i, 1:i));
0007   end
0008 
0009   sqdet = sqrt(dets);
0010   if isreal('sqdet')==0
0011     error('### matrix not positive definite')
0012   end
0013 
0014   if(isa(m,'sym'))
0015     M = m;
0016     n = length( M );
0017     L = vpa(zeros( n, n ));
0018     for i=1:n
0019       L(i, i) = sqrt( M(i, i) - L(i, :)*L(i, :)' );
0020       for j=(i + 1):n
0021         L(j, i) = ( M(j, i) - L(i, :)*L(j, :)' )/L(i, i);
0022       end
0023     end
0024     % L = solve('L');
0025     varargout{1} = L;
0026   end
0027 
0028 end

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