naginterfaces.library.lapacklin.dpotrf

naginterfaces.library.lapacklin.dpotrf(uplo, a)

dpotrf computes the Cholesky factorization of a real symmetric positive definite matrix.

For full information please refer to the NAG Library document for f07fd

https://support.nag.com/numeric/nl/nagdoc_30.3/flhtml/f07/f07fdf.html

Parameters

uplostr, length 1

Specifies whether the upper or lower triangular part of $A$ is stored and how $A$ is to be factorized.

$uplo=\text{'U'}$

The upper triangular part of $A$ is stored and $A$ is factorized as $U^{T}U$, where $U$ is upper triangular.

$uplo=\text{'L'}$

The lower triangular part of $A$ is stored and $A$ is factorized as $L{L}^T$, where $L$ is lower triangular.

afloat, array-like, shape $(n,n)$

The $n\times n$ symmetric positive definite matrix $A$.

Returns

afloat, ndarray, shape $(n,n)$

The upper or lower triangle of $A$ is overwritten by the Cholesky factor $U$ or $L$ as specified by $uplo$.

Raises

NagValueError

(errno $-1$)

On entry, error in parameter $uplo$.

Constraint: $uplo=\text{'U'}$ or $\text{'L'}$.

(errno $-2$)

On entry, error in parameter $\text{n}$.

Constraint: $n\ge 0$.

(errno $i>0$)

The leading minor of order $⟨value⟩$ is not positive definite and the factorization could not be completed. Hence $A$ itself is not positive definite. This may indicate an error in forming the matrix $A$. To factorize a symmetric matrix which is not positive definite, call dsytrf() instead.

Notes

dpotrf forms the Cholesky factorization of a real symmetric positive definite matrix $A$ either as $A=U^{T}U$ if $uplo=\text{'U'}$ or $A=L{L}^T$ if $uplo=\text{'L'}$, where $U$ is an upper triangular matrix and $L$ is lower triangular.

References

Demmel, J W, 1989, On floating-point errors in Cholesky, LAPACK Working Note No. 14, University of Tennessee, Knoxville, https://www.netlib.org/lapack/lawnspdf/lawn14.pdf

Golub, G H and Van Loan, C F, 1996, Matrix Computations, (3rd Edition), Johns Hopkins University Press, Baltimore