initial commit

third_party/eigen/doc/snippets/LLT_example.cpp

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