R: Cholesky decomposition of a square matrix

Cholesky decomposition of a square matrix {Rfast} | R Documentation

## Cholesky decomposition of a square matrix

### Description

Cholesky decomposition of a square matrix.

### Usage

    cholesky(x,parallel = FALSE)

### Arguments

`x` | A square positive definite matrix.
`parallel` | A boolean value for parallel version.

### Details

The Cholesky decomposition of a square positive definite matrix is computed. The use of parallel is suggested for matrices with dimensions of 1000 or more.

### Value

An upper triangular matrix.

### Author(s)

Manos Papadakis

R implementation and documentation: Michail Tsagris <mtsagris@uoc.gr> and Manos Papadakis <papadakm95@gmail.com>

### See Also

`is.symmetric`

### Examples

    x = matrix(rnorm(1000 * 50), ncol = 50)
    s = cov(x)
    system.time(a1 <- cholesky(s))
    system.time(a2 <- chol(s))
    all.equal(a1[upper.tri(a1)], a2[upper.tri(a2)])
    x <- NULL
    s <- NULL
    a1 <- NULL
    a2 <- NULL

[Package Rfast version 2.0.4 Index]