A module for calculating the in-place Cholesky decomposition of symmetric, positive-definite matrix.

npm install ndarray-cholesky-factorization

var cholesky = require('ndarray-cholesky-factorization');

Calculates the Cholesky factorization for a symmetric, positive-definite matrix A, which has to be an ndarray. The decomposition splits the matrix into the product of a lower triangular matrix and its transpose, i.e. A = LL^t. The result is stored in-place in L, and the function returns true upon successful completion.

var cholesky = require('ndarray-cholesky-factorization'),
    pool = require('ndarray-scratch');
var A = ndarray(new Float64Array([4,12,-16,12,37,-43,-16,-43,98]), [3, 3]);
var L = pool.zeros( A.shape, A.dtype );
cholesky(A, L)

Run tests via the command npm test

MIT license.