cern.colt.matrix.linalg

Class CholeskyDecomposition

java.lang.Object

cern.colt.matrix.linalg.CholeskyDecomposition

All Implemented Interfaces:

Serializable

public class CholeskyDecomposition
extends Object
implements Serializable

For a symmetric, positive definite matrix A, the Cholesky decomposition is a 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 isSymmetricPositiveDefinite() method.

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
CholeskyDecomposition(DoubleMatrix2D A) Constructs and returns a new Cholesky decomposition object for a symmetric and positive definite matrix; The decomposed matrices can be retrieved via instance methods of the returned decomposition object.

Method Summary

Methods

Modifier and Type	Method and Description
DoubleMatrix2D	getL() Returns the triangular factor, L.
boolean	isSymmetricPositiveDefinite() Returns whether the matrix A is symmetric and positive definite.
DoubleMatrix2D	solve(DoubleMatrix2D B) Solves A*X = B; returns X.
String	toString() Returns a String with (propertyName, propertyValue) pairs.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

CholeskyDecomposition

public CholeskyDecomposition(DoubleMatrix2D A)

Constructs and returns a new Cholesky decomposition object for a symmetric and positive definite matrix; The decomposed matrices can be retrieved via instance methods of the returned decomposition object.

Parameters:

A - Square, symmetric matrix.

Throws:

IllegalArgumentException - if A is not square.

Method Detail

getL

public DoubleMatrix2D getL()

Returns the triangular factor, L.

Returns:

L

isSymmetricPositiveDefinite

public boolean isSymmetricPositiveDefinite()

Returns whether the matrix A is symmetric and positive definite.

Returns:

true if A is symmetric and positive definite; false otherwise

solve

public DoubleMatrix2D solve(DoubleMatrix2D B)

Solves A*X = B; returns X.

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 - if B.rows() != A.rows().

IllegalArgumentException - if !isSymmetricPositiveDefinite().

toString

public String toString()

Returns a String with (propertyName, propertyValue) pairs. Useful for debugging or to quickly get the rough picture. For example,

rank          : 3
trace         : 0

Overrides:

toString in class Object