Package Jama

Class CholeskyDecomposition

java.lang.Object
Jama.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.

See Also:
Serialized Form

  • Constructor Summary

    Constructors 
    Constructor Description
    CholeskyDecomposition​(Matrix Arg)
    Cholesky algorithm for symmetric and positive definite matrix.

  • Method Summary

    Modifier and Type Method Description
    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 Details

    • CholeskyDecomposition

      public CholeskyDecomposition​(Matrix Arg)
      Cholesky algorithm for symmetric and positive definite matrix.
      Parameters:
      A - Square, symmetric matrix.

  • Method Details

    • 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.