cholesky

subroutine cholesky(a, l)

Description:

This subroutine provides a Cholesky decomposition of a symmetric matrix , meaning a matrix for which . The resulting matrix is a lower triangular matrix with . Note that the matrices and need to be square matrices and all have the same size.

Input arguments:

• real*8 :: a(:, :)
  The square matrix that should be decomposed.

Output arguments:

• real*8 :: l(:, :)
  The lower triangular decomposition matrix. Must have the same size as a.

References

• Parts of this routine were copied and adapted from:
  • Press, W.H., Teukolsky, S.A., Vetterling, W.T. & Flannery, B.P. (1992). Numerical Recipes in Fortran 90: The Art of Parallel Scientific Computing, 2nd edition. Cambridge: Cambridge Univeristy Press.
• For further reading refer to:
  • Golub, G.H. & Van Loan, C.F. (2013). Matrix Computations, 4th ed. Baltimore: Johns Hopkins University Press.