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java.lang.Objectorg.apache.commons.math3.linear.CholeskyDecomposition
public class CholeskyDecomposition
Calculates the Cholesky decomposition of a matrix.
The Cholesky decomposition of a real symmetric positive-definite matrix A consists of a lower triangular matrix L with same size such that: A = LLT. In a sense, this is the square root of A.
This class is based on the class with similar name from the JAMA library, with the following changes:
getLT method has been added,isspd method has been removed, since the constructor of
this class throws a NonPositiveDefiniteMatrixException when a
matrix cannot be decomposed,getDeterminant method has been added,solve method has been replaced by a getSolver method and the equivalent method provided by the returned
DecompositionSolver.
| Field Summary | |
|---|---|
static double |
DEFAULT_ABSOLUTE_POSITIVITY_THRESHOLD
Default threshold below which diagonal elements are considered null and matrix not positive definite. |
static double |
DEFAULT_RELATIVE_SYMMETRY_THRESHOLD
Default threshold above which off-diagonal elements are considered too different and matrix not symmetric. |
| Constructor Summary | |
|---|---|
CholeskyDecomposition(RealMatrix matrix)
Calculates the Cholesky decomposition of the given matrix. |
|
CholeskyDecomposition(RealMatrix matrix,
double relativeSymmetryThreshold,
double absolutePositivityThreshold)
Calculates the Cholesky decomposition of the given matrix. |
|
| Method Summary | |
|---|---|
double |
getDeterminant()
Return the determinant of the matrix |
RealMatrix |
getL()
Returns the matrix L of the decomposition. |
RealMatrix |
getLT()
Returns the transpose of the matrix L of the decomposition. |
DecompositionSolver |
getSolver()
Get a solver for finding the A × X = B solution in least square sense. |
| Methods inherited from class java.lang.Object |
|---|
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
| Field Detail |
|---|
public static final double DEFAULT_RELATIVE_SYMMETRY_THRESHOLD
public static final double DEFAULT_ABSOLUTE_POSITIVITY_THRESHOLD
| Constructor Detail |
|---|
public CholeskyDecomposition(RealMatrix matrix)
Calling this constructor is equivalent to call CholeskyDecomposition(RealMatrix, double, double) with the
thresholds set to the default values DEFAULT_RELATIVE_SYMMETRY_THRESHOLD and DEFAULT_ABSOLUTE_POSITIVITY_THRESHOLD
matrix - the matrix to decompose
NonSquareMatrixException - if the matrix is not square.
NonSymmetricMatrixException - if the matrix is not symmetric.
NonPositiveDefiniteMatrixException - if the matrix is not
strictly positive definite.CholeskyDecomposition(RealMatrix, double, double),
DEFAULT_RELATIVE_SYMMETRY_THRESHOLD,
DEFAULT_ABSOLUTE_POSITIVITY_THRESHOLD
public CholeskyDecomposition(RealMatrix matrix,
double relativeSymmetryThreshold,
double absolutePositivityThreshold)
matrix - the matrix to decomposerelativeSymmetryThreshold - threshold above which off-diagonal
elements are considered too different and matrix not symmetricabsolutePositivityThreshold - threshold below which diagonal
elements are considered null and matrix not positive definite
NonSquareMatrixException - if the matrix is not square.
NonSymmetricMatrixException - if the matrix is not symmetric.
NonPositiveDefiniteMatrixException - if the matrix is not
strictly positive definite.CholeskyDecomposition(RealMatrix),
DEFAULT_RELATIVE_SYMMETRY_THRESHOLD,
DEFAULT_ABSOLUTE_POSITIVITY_THRESHOLD| Method Detail |
|---|
public RealMatrix getL()
L is an lower-triangular matrix
public RealMatrix getLT()
LT is an upper-triangular matrix
public double getDeterminant()
public DecompositionSolver getSolver()
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