- #1

- 9

- 0

## Homework Statement

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?

for example,

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!