chol Cholesky factorization

## Syntax

    [R]=chol(X)

## Arguments

X

  a symmetric positive definite real or complex matrix.

## Description

If `X` is positive definite, then `R = chol(X)` produces an upper triangular matrix `R` such that `R'*R = X`.

`chol(X)` uses only the diagonal and upper triangle of `X`. The lower triangular is assumed to be the (complex conjugate) transpose of the upper.

## References

Cholesky decomposition is based on the Lapack routines DPOTRF for real matrices and ZPOTRF for the complex case.

## Examples

    W=rand(5,5)+%i*rand(5,5);
    X=W*W';
    R=chol(X);
    norm(R'*R-X)

## See also

- spchol
- qr
- svd
- bdiag
- fullrf