Documentation API of the 'jhplot.math.CholeskyDecomposition' Java class
CholeskyDecomposition
jhplot.math

Class CholeskyDecomposition



  • public class CholeskyDecompositionextends Object
    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.

    • Constructor Detail

      • CholeskyDecomposition

        public CholeskyDecomposition(double[][] Arg)
        Cholesky algorithm for symmetric and positive definite matrix.
        Parameters:
        Arg - Square, symmetric 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 double[][] getL()
        Return triangular factor.
        Returns:
        L
      • solve

        public double[][] solve(double[][] 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:
        IllegalArgumentException - Matrix row dimensions must agree.
        RuntimeException - Matrix is not symmetric positive definite.

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