Factor square Hermitian positive definite matrix into triangular components
Math Functions / Matrices and Linear Algebra / Matrix Factorizations
The Cholesky Factorization block uniquely factors the square Hermitian positive definite input matrix S as
where L is a lower triangular square matrix with positive
diagonal elements and L* is the
Hermitian (complex conjugate) transpose of L. The block outputs a
matrix with lower triangle elements from L and upper triangle
elements from L*. The output is not in
the same form as the output of the MATLAB®
chol function. In order to convert the output of the Cholesky
Factorization block to the MATLAB form, use the following equation:
R = triu(LL');
In order to extract the L matrix exclusively, pass the output of
the Cholesky Factorization block, LL', to the Extract Triangular Matrix block. Setting the Extract
parameter of the Extract Triangular Matrix to
Lower extracts the L matrix. Setting
the Extract parameter to
the L' matrix.
LL' is the output of the Cholesky Factorization block. Due to
roundoff error, these equations do not produce a result that is exactly the same as the
Block Output Composed of L and L*
Input Requirements for Valid Output
The block output is valid only when its input has the following characteristics:
Hermitian — The block does not check whether the input is Hermitian; it uses only the diagonal and upper triangle of the input to compute the output.
Real-valued diagonal entries — The block disregards any imaginary component of the input's diagonal entries.
Positive definite — Set the block to notify you when the input is not positive definite as described in Response to Nonpositive Definite Input.
Response to Nonpositive Definite Input
To generate a valid output, the block algorithm requires a positive definite input (see Input Requirements for Valid Output). Set the Non-positive definite input parameter to determine how the block responds to a nonpositive definite input:
Ignore— Proceed with the computation and do not issue an alert. The output is not a valid factorization. A partial factorization will be present in the upper left corner of the output.
Warning— Display a warning message in the MATLAB Command Window, and continue the simulation. The output is not a valid factorization. A partial factorization will be present in the upper left corner of the output.
Error— Display an error dialog and terminate the simulation.
The Non-positive definite input parameter is a diagnostic
parameter. Like all diagnostic parameters on the Configuration Parameters dialog
box, it is set to
Ignore in the code generated for
this block by Simulink®
Coder™ code generation software.
Performance Comparisons with Other Blocks
Note that L and L* share the same diagonal in the output matrix. Cholesky factorization requires half the computation of Gaussian elimination (LU decomposition), and is always stable.
- Non-positive definite input
Response to nonpositive definite matrix inputs:
Error. See Response to Nonpositive Definite Input.
Golub, G. H., and C. F. Van Loan. Matrix Computations. 3rd ed. Baltimore, MD: Johns Hopkins University Press, 1996.
Supported Data Types
|Port||Supported Data Types|
|Autocorrelation LPC||DSP System Toolbox|
|Cholesky Inverse||DSP System Toolbox|
|Cholesky Solver||DSP System Toolbox|
|LDL Factorization||DSP System Toolbox|
|LU Factorization||DSP System Toolbox|
|QR Factorization||DSP System Toolbox|
See Matrix Factorizations for related information.
C/C++ Code Generation
Generate C and C++ code using Simulink® Coder™.
Generated code relies on the
memset function (
string.h) under certain
Introduced before R2006a