schol.m

来自「kalman滤波」· M 代码 · 共 23 行

%SCHOL  Cholesky factorization for positive semidefinite matrices
%
% Syntax:
%   [L,def] = schol(A)
%
% In:
%   A - Symmetric pos.semi.def matrix to be factorized
%
% Out:
%   L   - Lower triangular matrix such that A=L*L' if def>=0.
%   def - Value 1,0,-1 denoting that A was positive definite,
%         positive semidefinite or negative definite, respectively.
%
% Description:
%   Compute lower triangular Cholesky factor L of symmetric positive
%   semidefinite matrix A such that
%
%     A = L*L'
%
% See also
%   CHOL

% Copyright (C) 2006 Simo S鋜kk