Cholesky Decomposition
Morten was visiting Dyalog clients and forwarded a request: Can we have the Cholesky decomposition? If A is a Hermitian, positive-definite matrix, its Cholesky decomposition [0] is a lower-triangular matrix L such that A ≡ L +.× +⍉L. The matrix L is a sort of “square root” of the matrix A. For example: ⎕io←0 ⋄ […]
