asa006

asa006, a C code which computes the Cholesky factor of a symmetric positive definite (SPD) matrix.

asa006 is a version of Applied Statistics Algorithm 6.

If A is a symmetric positive definite matrix, then there is an upper triangular matrix U with the property that

A = U' * U

The algorithm implemented here uses a compressed storage for both the matrix A and the factor U. This saves some storage, but can make computations a little awkward.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license

Languages:

asa006 is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

asa006_test

asa007, a C code which computes the inverse of a symmetric positive definite (SPD) matrix, and uses a version of asa006 for for Cholesky factorization.

asa047, a C code which implements the Nelder-Mead minimization algorithm, and uses a version of asa006 for Cholesky factorization.

toeplitz_cholesky, a C code which computes the Cholesky factorization of a nonnegative definite symmetric Toeplitz matrix.

Reference:

1. PR Freeman,
   Remark AS R44: A Remark on AS 6 and AS7: Triangular decomposition of a symmetric matrix and Inversion of a positive semi-definite symmetric matrix,
   Applied Statistics,
   Volume 31, Number 3, 1982, pages 336-339.
2. Michael Healy,
   Algorithm AS 6: Triangular decomposition of a symmetric matrix,
   Applied Statistics,
   Volume 17, Number 2, 1968, pages 195-197.

Source Code:

• asa006.h, the include file.
• asa006.sh, compiles the source code.

• cholesky.c, computes the Cholesky factorization of an SPD matrix.
• subchl.c, computes the Cholesky factorization of a subset of an SPD matrix.