Name
sp_lu — Performs a Cholesky decomposition on a sparse matrix
Calling Sequence
[R] = sp_chol(M)
Parameters
- M
the real sparse matrix on which we will perform the
Cholesky decomposition
- R
the R sparse matrix from the Cholesky decomposition
Description
Performs a Cholesky decomposition on a sparse matrix such
that:
R'*R=M