LDL function

LDL

Fast inplace LDL decomposition of symmetric band matrix of length k.

Arguments

• D: Rotated row-wised matrix of dimensions n*k, with first column corresponding to the diagonal, the second to the first super-diagonal and so on.

Returns

List with D as solution of our LDL decomposition.

Examples

n=10;
D0=1:10;
D1=exp(-c(1:9));
D=cbind(D0,c(D1,0))
sol=LDL(D)