On 6/29/06, [EMAIL PROTECTED] <[EMAIL PROTECTED]> wrote:
Does it matter whether the lower or upper triangular part is stored? We should just pick one convention and stick with it. That is simpler than, say, ATLAS where the choice is one of the parameters passed to the subroutine. I vote for lower triangular myself, if only because that was my choice last time I implemented a Cholesky factorization.
Chuck
The SAS IML Cholesky function "root" returns upper triangular. Quoting the
SAS documentation:
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.
Does it matter whether the lower or upper triangular part is stored? We should just pick one convention and stick with it. That is simpler than, say, ATLAS where the choice is one of the parameters passed to the subroutine. I vote for lower triangular myself, if only because that was my choice last time I implemented a Cholesky factorization.
Chuck
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