User`s guide

Cholesky Inverse

5-80

5Cholesky Inverse

Purpose Compute the inverse of a Hermitian positive definite matrix using Cholesky

factorization.

Library Math Functions / Matrices and Linear Algebra / Matrix Inverses

Description The Cholesky Inverse block computes the inverse of the Hermitian positive

definite input matrix S by performing Cholesky factorization.

L is a lower triangular square matrix with positive diagonal elements and L

is the Hermitian (complex conjugate) transpose of L. Only the diagonal and

upper triangle of the input matrix are used, and any imaginary component of

the diagonal entries is disregarded. Cholesky factorization requires half the

computation of Gaussian elimination (LU decomposition), and is always stable.

The output is always sample-based.

The algorithm requires that the input be Hermitian positive definite. When the

input is not positive definite, the block reacts with the behavior specified by the

Non-positive definite input parameter. The following options are available:

•

Ignore – Proceed with the computation and do not issue an alert. The output

is not a valid inverse.

•

Warning – Display a warning message in the MATLAB command window,

and continue the simulation. The output is not a valid inverse.

•

Error – Display an error dialog box and terminate the simulation.

Dialog Box

Non-positive definite input

Response to non-positive definite matrix inputs. Tunable.

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