I want to use matlab coder, but chol is not implemented in C yet

Does anyone have a "by hand" version of [V,D] = eig(A) or [V] = eig(A) that works like [V,D] = eig(A,B,'chol') does in matlab? I did my own scaling to make everything scale to 1, but 'qz' just isn't cutting it. Performance does not matter here, as this isn't called repeatedly, just its results.

I found a by hand implementation of chol. But it doesn't seem to produce the same answers for a 3x3 matrix as matlab's chol does, it seems to work for 4x4 though. Even if it did, I need the eigenvectors (and eigenvalues) for it using chol.

For instance the positive definitive value:

A=[3,1,0;0,3,1;0,0,3]

gives

chol(B)
= 1.7321 0.5774      0
     0   1.6330 0.6124
     0        0 1.6202

cholesky(B,'upper')
= 1.7321      0      0
     0   1.7321      0
     0        0 1.7321

Answer 1

[Raghu Boggavarapu]

MATLAB Coder supports chol and eig for code generation. Refer to respective documentation pages:

Cholesky factorization - MATLAB chol (mathworks.com)

Eigenvalues and eigenvectors - MATLAB eig (mathworks.com)