pub fn cholesky_decomposition<T: Numeric + Sqrt<Output = T>>(
matrix: &Matrix<T>,
) -> Option<Matrix<T>>where
for<'a> &'a T: NumericRef<T>,Expand description
Computes the cholesky decomposition of a matrix. This yields a matrix L
such that for the provided matrix A, L * L^T = A. L will always be
lower triangular, ie all entries above the diagonal will be 0. Hence cholesky
decomposition can be interpreted as a generalised square root function.
Cholesky decomposition is defined for symmetric, positive definite matrices.
This function does not check that the provided matrix is symmetric. However, given a symmetric
input, if the input is not positive definite None is returned. Attempting a cholseky
decomposition is also an efficient way to check if such a matrix is positive definite.
In the future additional checks that the input is valid could be added.