de.gsi.math.matrix

Class CholeskyDecomposition

java.lang.Object

de.gsi.math.matrix.CholeskyDecomposition

All Implemented Interfaces:

Serializable

public class CholeskyDecomposition
extends Object
implements Serializable

Cholesky Decomposition.

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.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
CholeskyDecomposition(MatrixD Arg) Cholesky algorithm for symmetric and positive definite matrix.

Method Summary

Modifier and Type	Method and Description
MatrixD	getL() Return triangular factor.
boolean	isSPD() Is the matrix symmetric and positive definite?
MatrixD	solve(MatrixD 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

CholeskyDecomposition

public CholeskyDecomposition(MatrixD Arg)

Cholesky algorithm for symmetric and positive definite matrix.

Parameters:

Arg - Square, symmetric matrix. Structure to access L and isspd flag.

Method Detail

getL

public MatrixD getL()

Return triangular factor.

Returns:

L

isSPD

public boolean isSPD()

Is the matrix symmetric and positive definite?

Returns:

true if A is symmetric and positive definite.

solve

public MatrixD solve(MatrixD B)

Solve A*X = B

Parameters:

B - A Matrix with as many rows as A and any number of columns.

Returns:

X so that L*L'*X = B

Throws:

IllegalArgumentException - Matrix row dimensions must agree.

RuntimeException - Matrix is not symmetric positive definite.