/*
 * Copyright 2011-2013, by Vladimir Kostyukov and Contributors.
 * 
 * This file is part of la4j project (http://la4j.org)
 * 
 * Licensed under the Apache License, Version 2.0 (the "License");
 * You may not use this file except in compliance with the License.
 * You may obtain a copy of the License at
 * 
 *      http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 * 
 * Contributor(s): Miron Aseev
 * 
 */

package org.la4j.decomposition;

import org.la4j.Matrices;
import org.la4j.Matrix;

/**
 * This class represents Cholesky decomposition of matrices. More details
 * 

* here *

*/ public class CholeskyDecompositor extends AbstractDecompositor implements MatrixDecompositor { public CholeskyDecompositor(Matrix matrix) { super(matrix); } /** * Returns the result of Cholesky decomposition of given matrix *

* See * http://mathworld.wolfram.com/CholeskyDecomposition.html for more * details. *

* * @return { L } */ @Override public Matrix[] decompose() { Matrix l = matrix.blankOfShape(matrix.rows(), matrix.rows()); for (int j = 0; j < l.rows(); j++) { double d = 0.0; for (int k = 0; k < j; k++) { double s = 0.0; for (int i = 0; i < k; i++) { s += l.get(k, i) * l.get(j, i); } s = (matrix.get(j, k) - s) / l.get(k, k); l.set(j, k, s); d = d + s * s; } d = matrix.get(j, j) - d; l.set(j, j, Math.sqrt(Math.max(d, 0.0))); for (int k = j + 1; k < l.rows(); k++) { l.set(j, k, 0.0); } } return new Matrix[] { l }; } @Override public boolean applicableTo(Matrix matrix) { return matrix.rows() == matrix.columns() && matrix.is(Matrices.SYMMETRIC_MATRIX) && matrix.is(Matrices.POSITIVE_DEFINITE_MATRIX); } }

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