Name
sp_lu — Performs an incomplete Cholesky decomposition on a sparse matrix
Calling Sequence
[R] = sp_chol(M)
Parameters
- M
the real sparse matrix on which we will perform the
Cholesky decomposition
- R
the R sparse matrix from the Cholesky decomposition
Description
Performs a Cholesky decomposition on a sparse matrix such
that:
R'*R=M
At the end of the incomplete Cholesky decomposition, the R
matrix will contain a number of non zeros elements which is less
or equal to the number of non zeros elements in the M matrix.