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Inverse of Cholesky decomposition
From: |
Søren Hauberg |
Subject: |
Inverse of Cholesky decomposition |
Date: |
Wed, 15 Jul 2009 14:57:55 +0200 |
Hi All
I have a matrix 'A', and I would like to compute the inverse of the
Cholesky decomposition, i.e., I would like to do the following
function retval = inv_of_chol (A)
R = chol (A);
retval = inv (R);
endfunction
Is there some direct way of doing this, or do I have to take the two
steps in the above code to do this?
Søren
P.S. I would be interested in a way of doing this, even if it isn't
currently in Octave.
- Inverse of Cholesky decomposition,
Søren Hauberg <=