cholesky.92f computes Choleski decomposition of a symmetric positive

definite matrix.





Choleski Decomposition decomposes a symmetric positive definite real matrix,

A into a lower triangular matrix L, such that A = L*transpose(L).  Note that

a matrix is positive definite if and only if, transpose(x)*A*x > 0, for any

real non-zero vector x.  If the matrix does not satisfy the positive

definite requirement, undef, will be returned as the result.  An reference

for this algorithm is: Fundamentals of Matrix Computations, by David S.

Watkins, Section 1.5.  The algorithm is based on the "outer-product"

formulation.