[Numpy-discussion] Should cholesky return upper or lower triangular matrix? (original) (raw)
Keith Goodman kwgoodman at gmail.com
Tue Jun 27 23:25:08 EDT 2006
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On 6/27/06, Robert Kern <robert.kern at gmail.com> wrote:
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/Choleskydecomposition 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/choleskyfactorization.htm http://www.library.cornell.edu/nr/bookcpdf/c2-9.pdf If anything, the convention appears to be lower-triangular.
If you give me a second, I'll show you that the wikipedia supports my claim.
OK. Lower it is. It will save me a transpose when I calculate joint random variables.
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