Compute Choleski factorization of a Matrix in R Programming – chol() Function

chol() function in R Language is used to compute the Choleski factorization of a real symmetric positive-definite square matrix.

Syntax: chol(x, …)
Parameters:
x: an object for which a method exists. The default method applies to real symmetric, positive-definite matrices 

Example 1:

R

# R program to illustrate
# chol function

# Initializing a matrix with
# 2 rows and 2 columns
x <- matrix(c(8, 1, 1, 4), 2, 2)

# Getting the matrix representation
x

# Calling the chol() function
y <- chol(x)

# Getting the Choleski factorization
# of the specified matrix
y

Output:

     [, 1] [, 2]
[1, ]    8    1
[2, ]    1    4

         [, 1]      [, 2]
[1, ] 2.828427 0.3535534
[2, ] 0.000000 1.9685020

Example 2:

R

# R program to illustrate
# chol function

# Initializing a matrix with
# 2 rows and 2 columns
x <- matrix(c(1, 2, 3, 4), 2, 2)

# Getting the matrix representation
x

# Calling the chol() function
y <- chol(x)

# Getting the Choleski factorization
# of the specified matrix
y

Output:

     [, 1] [, 2]
[1, ]    1    3
[2, ]    2    4

Error in chol.default(x) : 
  the leading minor of order 2 is not positive definite
Calls: chol -> chol.default
Execution halted