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IMSL_CHFAC

IMSL_CHFAC

IMSL_CHFAC

The IMSL_CHFAC procedure computes the Cholesky factor, L, of a real or complex symmetric positive definite matrix A, such that A = LLH.

The IMSL_CHFAC procedure computes the Cholesky factorization LLH of a symmetric positive definite matrix A. When the inverse of the matrix is sought, an estimate of the L1 condition number of A is computed using the same algorithm as in Dongarra et al. (1979). If the estimated condition number is greater than 1/ε (where ε is the machine precision), a warning message is issued. This indicates that very small changes in A may produce large changes in the solution x.

The IMSL_CHFAC function fails if L, the lower-triangular matrix in the factorization, has a zero diagonal element.



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