[R] B %*% t(B) = R , then solve for B

[Shawn Koppenhoefer]

Solution found...

Sorry for not having known this,...

Apparently, what I was after is called a "Choleski factorization".


The solution pops right out of R, as follows:

 > M<-matrix(c(0.6098601,  0.2557882,   0.1857773,
+             0.2557882,  0.5127065,  -0.1384238,
+             0.1857773, -0.1384238,   0.9351089 ),
+       nrow=3, ncol=3, byrow=TRUE)
 > chol(M)
           [,1]      [,2]       [,3]
[1,] 0.7809354 0.3275408  0.2378907
[2,] 0.0000000 0.6367288 -0.3397722
[3,] 0.0000000 0.0000000  0.8735398
 >



Thanks again for all your help!


/shawn