CHOL

 

 Cholesky factorization.

  CHOL(X) uses only the diagonal and upper triangle of X.

  The lower triangular is assumed to be the (complex conjugate)

  transpose of the upper.  If X is positive definite, then

  R = CHOL(X) produces an upper triangular R so that R'*R = X.

  If X is not positive definite, an error message is printed.

 

 

  With two output arguments, [R,p] = CHOL(X) never produces an

  error message.  If X is positive definite, then p is 0 and R

  is the same as above.   But if X is not positive definite, then

  p is a positive integer and R is an upper triangular matrix of

  order q = p-1 so that R'*R = X(1:q,1:q).