if M is dxd positive semi-definite matrix, then:
M = L'(or L transpose) * L
where L is a matrix of dimensions rxd
How can I get L given M and the number of rows, r?
if M is 800x800 p.s.d, I want L such that it is a 30x800 matrix and so
M (800x800) = L' (800x30) * L (30x800)
If you know a matlab function that can do just that, it would be perfect!