Choleski Factorization Using chol() Function in R (Example Code)

In this tutorial you’ll learn how to conduct a Choleski factorization using the chol function in R.

Creating Example Data

x <- matrix(c(9, 1, 1, 3),        # Matrix in R
            nrow = 2)
x
#      [,1] [,2]
# [1,]    9    1
# [2,]    1    3

Example: How to Apply the chol() Function to Conduct a Choleski Factorization

chol(x)                           # Perform Choleski decomposition
#      [,1]      [,2]
# [1,]    3 0.3333333
# [2,]    0 1.6996732