[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
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