org.encog.mathutil.matrices.decomposition
Class CholeskyDecomposition

java.lang.Object
  org.encog.mathutil.matrices.decomposition.CholeskyDecomposition

public class CholeskyDecomposition
extends 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. This file based on a class from the public domain JAMA package. http://math.nist.gov/javanumerics/jama/

Constructor Summary

CholeskyDecomposition(Matrix matrix)
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 matrix)

Cholesky algorithm for symmetric and positive definite matrix.

Parameters:

matrix - Square, symmetric matrix.

Method Detail

isSPD

public final boolean isSPD()

Is the matrix symmetric and positive definite?

Returns:

true if A is symmetric and positive definite.

getL

public final Matrix getL()

Return triangular factor.

Returns:

L

solve

public final 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.