Returns the Cholesky decomposition of the given matrix. Equivalent to R's
chol function.
Returns:
a matrix of the triangular factor (note: the result from
cern.colt.matrix.linalg.DenseDoubleCholeskyDecomposition is transposed so
that it matches the result return from R's chol function.
Examples:
(use '(incanter core stats charts datasets))
;; load the iris dataset
(def iris (to-matrix (get-dataset :iris)))
;; take the Cholesky decompostion of the correlation matrix of the iris data.
(decomp-cholesky (correlation iris))
References:
http://incanter.org/docs/parallelcolt/api/cern/colt/matrix/tdouble/algo/decomposition/DoubleCholeskyDecomposition.html
http://en.wikipedia.org/wiki/Cholesky_decomposition
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