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1 | #include <Eigen/Dense>
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2 | #include <iostream>
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3 |
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4 | using namespace Eigen;
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5 | using namespace std;
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6 |
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7 | int main(int, char**)
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8 | {
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9 | cout.precision(3);
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10 | MatrixXd A(3,3);
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11 | A << 4,-1,2, -1,6,0, 2,0,5;
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12 | cout << "The matrix A is" << endl << A << endl;
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13 |
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14 | LLT<MatrixXd> lltOfA(A); // compute the Cholesky decomposition of A
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15 | MatrixXd L = lltOfA.matrixL(); // retrieve factor L in the decomposition
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16 | // The previous two lines can also be written as "L = A.llt().matrixL()"
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17 |
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18 | cout << "The Cholesky factor L is" << endl << L << endl;
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19 | cout << "To check this, let us compute L * L.transpose()" << endl;
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20 | cout << L * L.transpose() << endl;
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21 | cout << "This should equal the matrix A" << endl;
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22 |
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23 | return 0;
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24 | }
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