HANKEL_CHOLESKY is a C++ library which can compute the upper Cholesky factor of a positive definite (symmetric) Hankel matrix H, that is, H = R' * R.
A Hankel matrix is a matrix which is constant along all antidiagonals. A schematic of a 5x5 Hankel matrix would be:
a b c d e b c d e f c d e f g d e f g h e f g h i
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
HANKEL_CHOLESKY is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.
ASA006, a C++ library which computes the Cholesky factorization of a symmetric positive definite matrix, by Michael Healy. This is a MATLAB version of Applied Statistics Algorithm 6;
HANKEL_PDS, a C++ library which can compute a lower triangular matrix L which is the Cholesky factor of a positive definite (symmetric) Hankel matrix H, that is, H = L * L'.
TOEPLITZ_CHOLESKY, a C++ library which computes the Cholesky factorization of a nonnegative definite symmetric Toeplitz matrix.
You can go up one level to the C++ source codes.