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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.



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