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Cholesky decomposition

numeric.linalg.cholesky(a)

Cholesky decomposition.

Return the Cholesky decomposition, L * L.H, of the square matrix a, where L is lower-triangular and .H is the conjugate transpose operator (which is the ordinary transpose if a is real-valued). a must be Hermitian (symmetric if real-valued) and positive-definite. Only L is actually returned.

Parameters

a : (M, M) array_like
Hermitian (symmetric if all elements are real), positive-definite input matrix.

Returns

L : (M, M) array_like
Upper or lower-triangular Cholesky factor of a. Returns a matrix object if a is a matrix object.

Examples:

a1 = array([[25,15,-5],[15,18,0],[-5,0,11]])
r1 = np.linalg.cholesky(a1)
print r1

a2 = array([[18,22,54,42],[22,70,86,62],[54,86,174,134],[42,62,134,106]])
r2 = np.linalg.cholesky(a2)
print r2

Result:

>>> run script...
array([[5.0, 0.0, 0.0]
      [3.0, 3.0, 0.0]
      [-1.0, 1.0, 3.0]])
array([[4.242640687119285, 0.0, 0.0, 0.0]
      [5.185449728701349, 6.565905201197403, 0.0, 0.0]
      [12.727922061357857, 3.0460384954008553, 1.6497422479090682, 0.0]
      [9.899494936611667, 1.624553864213788, 1.8497110052313714, 1.3926212476455935]])