Quote:
Originally Posted by MarkOfDinosaur
I am having trouble understanding OPR. I had thought I had gotten it, but my results seem wrong. I'm pretty sure the problem lies with how i am performing the cholesky decomposition. I don't understand how to make a macro for it. I have looked into Ed Law's workbooks, but I still don't understand. Would it be possible for someone to explain how cholesky decomposition works, or is that too complicated?
Thanks
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Would you like to test your Cholesky implementation first to see if that is really the problem?
Attached is a 64x64 test matrix and its Cholesky factorization.
Both files are CSV so Excel should be able to open them directly.