[Numpy-discussion] Should cholesky return upper or lower triangular matrix?

Robert Kern robert.kern at gmail.com
Tue Jun 27 22:18:04 CDT 2006


Keith Goodman wrote:
> Isn't the Cholesky decomposition by convention an upper triangular
> matrix? I noticed, by porting Octave code, that linalg.cholesky
> returns the lower triangular matrix.
> 
> References:
> 
> http://mathworld.wolfram.com/CholeskyDecomposition.html
> http://www.mathworks.com/access/helpdesk/help/techdoc/ref/chol.html

Lower:
http://en.wikipedia.org/wiki/Cholesky_decomposition
http://www.math-linux.com/spip.php?article43
http://planetmath.org/?op=getobj&from=objects&id=1287
http://rkb.home.cern.ch/rkb/AN16pp/node33.html#SECTION000330000000000000000
http://www.riskglossary.com/link/cholesky_factorization.htm
http://www.library.cornell.edu/nr/bookcpdf/c2-9.pdf

If anything, the convention appears to be lower-triangular.

-- 
Robert Kern

"I have come to believe that the whole world is an enigma, a harmless enigma
  that is made terrible by our own mad attempt to interpret it as though it had
  an underlying truth."
   -- Umberto Eco





More information about the Numpy-discussion mailing list