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java.lang.Object org.jmatrices.dbl.decomposition.CholeskyDecomposition
CholeskyDecomposition
It is a special case of LU decomposition applicable only if matrix to be decomposed is symmetric positive definite.
For a symmetric, positive definite matrix A, the Cholesky decomposition is an lower triangular matrix L so that A = L*L'.
If the matrix is not symmetric or positive definite, the constructor returns a partial decomposition and sets an internal flag that may be queried by the isSPD() method.
The code is basically JAMA code with modifications made to fit in the scheme of things.
http://ikpe1101.ikp.kfa-juelich.de/briefbook_data_analysis/node33.html http://grids.ucs.indiana.edu/ptliupages/projects/HPJava/talks/beijing/hpspmd/HPJava/node15.html (pseudo code)
Author: purangp
Date: 13.03.2004 Time: 01:04:45
Constructor Summary | |
CholeskyDecomposition(Matrix matrix)
Cholesky algorithm for symmetric and positive definite matrix. |
Method Summary | |
Matrix |
getL()
Return triangular factor. |
boolean |
isSPD()
Is the matrix symmetric and positive definite? |
Matrix |
solve(Matrix B)
Solve A*X = B |
Methods inherited from class java.lang.Object |
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
public CholeskyDecomposition(Matrix matrix)
matrix
- Square, symmetric matrix.
Structure to access L and isspd flag.Method Detail |
public boolean isSPD()
public Matrix getL()
public Matrix solve(Matrix B)
B
- A Matrix with as many rows as A and any number of columns.
java.lang.IllegalArgumentException
- Matrix row dimensions must agree.
java.lang.RuntimeException
- Matrix is not symmetric positive definite.
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