How does MATLAB determine positive definiteness inside chol(...) function implementation?

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Narayanan Krishnan
Narayanan Krishnan le 9 Nov 2015
Commenté : Steven Lord le 9 Nov 2015
How does MATLAB determine positive definiteness inside the chol(...) function implementation? Using the standard cholesky decomposition algorithm the diagonal pivots end up being zero for positive semidefinte hermitian matrix. Is this the method to determine the positive definiteness? If that is the case then what is the tolerance level of the diagonal pivot below which it is considered not positive definite?
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Steven Lord
Steven Lord le 9 Nov 2015
If you need to know if MATLAB considers a matrix to be PD, call CHOL with two outputs. Note the assumption given in the first paragraph of its help text, though.

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