ldlt

This collection compute square root free Cholesky factorizations of the form A=L*D*L'

Description

The m-files in this collection compute square root free Cholesky
factorizations of the form A=L*D*L', modified Cholesky factorizations
for matrices which may not quite be positive definite, and rank-one
updates of the factorizations. These routines were developed for a
course in nonlinear programming based on "Practical Optimization" by
Gill, Murray, and Wright.

• Acknowledgements: This submission has inspired the following:; Control random numbers in Simulink
• MATLAB release: MATLAB 6.1 (R12.1)

[d c]

the mchol.m file doesn't produce as advertized. it failed to give me outputs as described in the help section of the file

[ron s]

works as advertized

[Guillermo Díaz de León]

 

[ilhan polat]

I think it needs a validity check or sorting. Gives a NaN error when the following code is run:
[L,D]=ldlt([4 1 0;1 2 0;0 0 0])

[ilhan polat]

The matrix should be as
[L,D]=ldlt([4 2 0;2 1 0;0 0 0])

[Tim Davis]

I realize that D is diagonal, so "p'*inv(D)*p" may seem safe ... but it isn't. You should use p'*(D\p) instead.