I would like to add new method for Cholesky factorization like scipy.linalg.cholesky.
Cholesky factorization decomposes a symmetric/Hermitian positive define matrix into the product of an upper / lower triangular matrix such as A = U^T * U. The already existing cho_fact method returns the matrix which has the Cholesky factor in upper / lower triangular part. However, the remain part consists of random values. Thus, it is difficult to reconstruct the original matrix using the returned matrix from the cho_fact method.
In contrast, the cholesky method in this PR returns the upper / lower triangular matrix consits of Cholesky factor. The original matrix can be reconstructed by the product of the matrix returned by the cholesky method.
I would like to add new method for Cholesky factorization like scipy.linalg.cholesky.
Cholesky factorization decomposes a symmetric/Hermitian positive define matrix into the product of an upper / lower triangular matrix such as A = U^T * U. The already existing
cho_fact
method returns the matrix which has the Cholesky factor in upper / lower triangular part. However, the remain part consists of random values. Thus, it is difficult to reconstruct the original matrix using the returned matrix from the cho_fact method.In contrast, the
cholesky
method in this PR returns the upper / lower triangular matrix consits of Cholesky factor. The original matrix can be reconstructed by the product of the matrix returned by thecholesky
method.