1*bf2c3715SXin Li MatrixXd A(3,3); 2*bf2c3715SXin Li A << 4,-1,2, -1,6,0, 2,0,5; 3*bf2c3715SXin Li cout << "The matrix A is" << endl << A << endl; 4*bf2c3715SXin Li 5*bf2c3715SXin Li LLT<MatrixXd> lltOfA(A); // compute the Cholesky decomposition of A 6*bf2c3715SXin Li MatrixXd L = lltOfA.matrixL(); // retrieve factor L in the decomposition 7*bf2c3715SXin Li // The previous two lines can also be written as "L = A.llt().matrixL()" 8*bf2c3715SXin Li 9*bf2c3715SXin Li cout << "The Cholesky factor L is" << endl << L << endl; 10*bf2c3715SXin Li cout << "To check this, let us compute L * L.transpose()" << endl; 11*bf2c3715SXin Li cout << L * L.transpose() << endl; 12*bf2c3715SXin Li cout << "This should equal the matrix A" << endl; 13