solve_tridiag.m

function [x] = solve_tridiag(u,d,b)
  % provides solution of Ax=b
  % d = diagonal of upper matrix of cholesky factorization
  % u = off-diagonal of upper matrix of cholesky factorization
  % b = the vector

  x = zeros(1,length(b));
  y = zeros(1,length(b));
  y(1) = b(1)/d(1);

  for i=2:length(b)
      y(i)=(b(i)-u(i-1)*y(i-1))/d(i);
  end

  x(length(b)) = y(length(b))/d(length(b));
 
  for i = n-1:-1:1
      x(i) = ((y(i)-u(i))*x(i+1))/d(i);
  end
end