Cholesky Factorization
Factor square Hermitian positive definite matrix into triangular components
Libraries:
DSP System Toolbox /
Math Functions /
Matrices and Linear Algebra /
Matrix Factorizations
Description
The Cholesky Factorization block uniquely factors the square Hermitian positive definite input matrix S as
$$S=LL\text{'}$$
where L is a lower triangular square matrix with positive diagonal elements and L^{'} is the Hermitian (complex conjugate) transpose of L.
Note that L and L^{'} share the same diagonal in the output matrix. Cholesky factorization requires half the computation of Gaussian elimination (LU decomposition), and is always stable.
Ports
Input
Output
Parameters
Block Characteristics
Data Types 

Direct Feedthrough 

Multidimensional Signals 

VariableSize Signals 

ZeroCrossing Detection 

References
[1] Golub, G. H., and C. F. Van Loan. Matrix Computations. 3rd ed. Baltimore, MD: Johns Hopkins University Press, 1996.
Extended Capabilities
Version History
Introduced before R2006a
See Also
Functions
Blocks
 Autocorrelation LPC  Cholesky Inverse  Cholesky Solver  LDL Factorization  LU Factorization  QR Factorization