The @CHOLESKY function performs a Cholesky factorization of the symmetric, positive-definite matrix A, where LL' = A, and L is a lower-triangular matrix with real and positive diagonal elements.  One can think of L as the "square root" of matrix A.  Both A and L must be square and of the same dimension.  The upper triangle of L will be filled with zeros.  Syntax for @CHOLESKY is:

L[, err] = @CHOLESKY( A);

Both matrices must be dense and cannot be defined on sparse sets, and @CHOLESKY may only be used in a model's calc section.

The optional argument, err, is an error flag that will be 0 if the factorization was successful, otherwise it will be 1.  If err is present, any error will be ignored by LINGO and will be left for your model to handle. If err is not present, then, on any error, LINGO will display an error message and terminate the run.

For more information, refer to the section Matrix Functions.