Gan_SquMatrix smS, smL, *psmL; /* declare matrices S & L */
/* ... create and fill matrix S, which must be symmetric and positive definite,
create L ... */
gan_symmat_cholesky_q ( &smS, &smL ); /* L = chol(S), OR */
psmL = gan_symmat_cholesky_s ( &smS ); /* L = chol(S) */
gan_symmat_cholesky_i ( &smS ); /* replace S = chol(S) */
The last option gan_symmat_cholesky_i() replaces
Error detection: If
is not either symmetric or positive definite
in the above routines, NULL is returned and the Gandalf error handler
is invoked. Another failure mode is failing to create the result matrix.