Saturday, October 10, 2009

matlab : sample cholesky program


A = [2 4 2; 4 11 4; 2 4 6]

j = 1
n = 3

while j <= n
k = 1
while k < j
i = j
while i <= n
A(i,j) = A(i,j) - A(i,k)*A(j,k)
i=i+1
end
k = k+1
end
A(j,j) = (A(j,j)).^(1/2)
k = j+1
while k <= n
A(k,j) = (A(k,j))/(A(j,j))
k = k+1
end
j = j+1
end
A

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