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

Constructor Summary

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

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.

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:

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().

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