jhplot.math
Class CholeskyDecomposition
- java.lang.Object
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- jhplot.math.CholeskyDecomposition
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public class CholeskyDecomposition extends java.lang.Object
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.
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Constructor Summary
Constructors Constructor and Description CholeskyDecomposition(double[][] Arg)
Cholesky algorithm for symmetric and positive definite matrix.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method and Description double[][]
getL()
Return triangular factor.boolean
isSPD()
Is the matrix symmetric and positive definite?double[][]
solve(double[][] B)
Solve A*X = B
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Constructor Detail
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CholeskyDecomposition
public CholeskyDecomposition(double[][] Arg)
Cholesky algorithm for symmetric and positive definite matrix.- Parameters:
Arg
- Square, symmetric matrix.
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Method Detail
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isSPD
public boolean isSPD()
Is the matrix symmetric and positive definite?- Returns:
- true if A is symmetric and positive definite.
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getL
public double[][] getL()
Return triangular factor.- Returns:
- L
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solve
public double[][] solve(double[][] 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:
java.lang.IllegalArgumentException
- Matrix row dimensions must agree.java.lang.RuntimeException
- Matrix is not symmetric positive definite.
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