ROOT Function

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ROOT Function

performs the Cholesky decomposition of a matrix

ROOT( matrix)

where matrix is a symmetric positive-definite matrix.

The ROOT function performs the Cholesky decomposition of a matrix (for example, A) such that

U'U = A

where U is upper triangular. The matrix A must be symmetric and positive definite.

For example, the statements

   xpx={4 15, 15 85};
   a=root(xpx);

produce the result shown below:

                A             2 rows      2 cols    (numeric)
                                     2       7.5
                                     0 5.3619026

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