[Numpy-discussion] Should cholesky return upper or lowertriangularmatrix?

Charles R Harris charlesr.harris at gmail.com
Thu Jun 29 10:46:18 EDT 2006


On 6/29/06, mfmorss at aep.com <mfmorss at aep.com> wrote:
> The SAS IML Cholesky function "root" returns upper triangular.  Quoting
> the
> SAS documentation:
> The ROOT function performs the Cholesky decomposition of a matrix (for
> example, A) such that
> U'U = A
> where U is upper triangular. The matrix A must be symmetric and positive
> definite.

Does it matter whether the lower or upper triangular part is stored? We
should just pick one convention and stick with it. That is simpler than,
say, ATLAS where the choice is one of the parameters passed to the
subroutine. I vote for lower triangular myself, if only because that was my
choice last time I implemented a Cholesky factorization.

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