I saw from ALGLIB user guide that there is a function SMatrixLDLT doing LDLT decomposition (http://www.alglib.net/matrixops/symmetric/ldlt.php). However, when I installed ALGLIB (python), I did see where I can call this function. From the online manual (http://www.alglib.net/translator/man/manual.cpp.html#unit_ldlt) I didn't see any example of calling that function.
In Python, the functions that starts with "SMatrix" are:
Quote:
xalglib.smatrixevd xalglib.smatrixrndmultiply
xalglib.smatrixevdi xalglib.smatrixtd
xalglib.smatrixevdr xalglib.smatrixtdevd
xalglib.smatrixgevd xalglib.smatrixtdevdi
xalglib.smatrixgevdreduce xalglib.smatrixtdevdr
xalglib.smatrixrndcond xalglib.smatrixtdunpackq
So my question is: how could I call LDLT decomposition in ALGLIB? Thanks.
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