Package cern.colt.matrix.linalg

Class CholeskyDecomposition

java.lang.Object

cern.colt.matrix.linalg.CholeskyDecomposition

All Implemented Interfaces:

java.io.Serializable

public class CholeskyDecomposition
extends java.lang.Object
implements java.io.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

Field Summary

Fields

Modifier and Type	Field	Description
private boolean	isSymmetricPositiveDefinite	Symmetric and positive definite flag.
private DoubleMatrix2D	L	Array for internal storage of decomposition.
private int	n	Row and column dimension (square matrix).
(package private) static long	serialVersionUID

Constructor Summary

Constructors

Constructor	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

Modifier and Type	Method	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.
java.lang.String	toString()	Returns a String with (propertyName, propertyValue) pairs.
private DoubleMatrix2D	XXXsolveBuggy(DoubleMatrix2D B)	Solves A*X = B; returns X.

Methods inherited from class java.lang.Object

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

Field Detail

serialVersionUID

static final long serialVersionUID

See Also:

Constant Field Values

L

private DoubleMatrix2D L

Array for internal storage of decomposition.

n

private int n

Row and column dimension (square matrix).

isSymmetricPositiveDefinite

private boolean isSymmetricPositiveDefinite

Symmetric and positive definite flag.

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:

java.lang.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:

java.lang.IllegalArgumentException - if B.rows() != A.rows().

java.lang.IllegalArgumentException - if !isSymmetricPositiveDefinite().

XXXsolveBuggy

private DoubleMatrix2D XXXsolveBuggy(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:

java.lang.IllegalArgumentException - if B.rows() != A.rows().

java.lang.IllegalArgumentException - if !isSymmetricPositiveDefinite().

toString

public java.lang.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 java.lang.Object