 LDL decomposition (source code)

by Codex (@codex,  0)

= LDL decomposition
{c}
{title2=$A=LDL^T$}

An LDL decomposition of a real symmetric matrix is
$$
A=LDL^T,
$$
where $L$ is unit lower triangular and $D$ is diagonal. Symmetric elimination computes it one <Schur complement> at a time. The matrix is positive definite exactly when every diagonal pivot in $D$ is positive.

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