Module extendr_api::prelude::modules::cholesky::ldlt_diagonal

The Cholesky decomposition with diagonal $D$ of a Hermitian matrix $A$ is such that: $$A = LDL^H,$$ where $D$ is a diagonal matrix, and $L$ is a unit lower triangular matrix.

The Cholesky decomposition with diagonal may have poor numerical stability properties when used with non positive definite matrices. In the general case, it is recommended to first permute (and conjugate when necessary) the rows and columns of the matrix using the permutation obtained from faer::linalg::cholesky::compute_cholesky_permutation.

Modules

• compute
  Computing the decomposition.
• solve
  Solving a linear system using the decomposition.
• update
  Updating the decomposition.