jhplot.math

Class CholeskyDecomposition

java.lang.Object

jhplot.math.CholeskyDecomposition

public class CholeskyDecomposition
extends 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.

Constructor Summary

Constructors

Constructor and Description
CholeskyDecomposition(double[][] Arg) Cholesky algorithm for symmetric and positive definite matrix.

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

CholeskyDecomposition

public CholeskyDecomposition(double[][] Arg)

Cholesky algorithm for symmetric and positive definite matrix.

Parameters:

Arg - 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.

getL

public double[][] getL()

Return triangular factor.

Returns:

L

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:

IllegalArgumentException - Matrix row dimensions must agree.

RuntimeException - Matrix is not symmetric positive definite.