Matrix operations

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Joe on 10 Jun 2012

Hi all, I'm not a pro at Matlab, but I'm trying. Can anyone offer help with the following:

[M] - [K] = [L]*[H]*[H]'*[L]'...... where [M]-[K}>0

All are matrices, I know M, K and L, how do I solve for H and H' such that I maintain positive definiteness of M-K?

I have tried to use Cholesky method but I cannot get it to work. Any help would be appreciated. Thanks.

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