org.jquantlib.math.matrixutilities

Class CholeskyDecomposition

java.lang.Object

org.jquantlib.math.matrixutilities.CholeskyDecomposition

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.

See Also:

JAMA

Constructor Summary

Constructors

Constructor and Description
CholeskyDecomposition(Matrix A) Cholesky algorithm for symmetric and positive definite matrix.

Method Summary

Modifier and Type	Method and Description
boolean	isSPD() Is the matrix symmetric and positive definite?
Matrix	L() Return triangular factor.
Matrix	solve(Matrix B) Solve A*X = B

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CholeskyDecomposition

public CholeskyDecomposition(Matrix A)

Cholesky algorithm for symmetric and positive definite matrix.

Parameters:

A - is a square, symmetric matrix.

Method Detail

isSPD

public boolean isSPD()

Is the matrix symmetric and positive definite?

Returns:

true if A is symmetric and positive definite.

L

public Matrix L()

Return triangular factor.

Returns:

L

solve

public Matrix solve(Matrix B)

Solve A*X = B

Parameters:

m - 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.

LibraryException - Matrix is not symmetric positive definite.