math.matrix
Class CholeskyDecomposition

java.lang.Object
  |
  +--math.matrix.CholeskyDecomposition

All Implemented Interfaces:

java.io.Serializable

public class CholeskyDecomposition

extends java.lang.Object

implements java.io.Serializable

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. Adapted from the Jama package, with code contributed by Darin Gillis to fix bugs in the decompositions.

See Also:

Serialized Form

Constructor Summary

CholeskyDecomposition(Matrix Arg)
Cholesky algorithm for symmetric and positive definite matrix.

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

CholeskyDecomposition

public CholeskyDecomposition(Matrix Arg)

Cholesky algorithm for symmetric and positive definite 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 Matrix getL()

Return triangular factor.

Returns:

L

solve

public Matrix solve(Matrix 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:

java.lang.IllegalArgumentException - Matrix row dimensions must agree.

java.lang.RuntimeException - Matrix is not symmetric positive definite.