org.encog.mathutil.matrices.decomposition

Class CholeskyDecomposition

java.lang.Object

org.encog.mathutil.matrices.decomposition.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. This file based on a class from the public domain JAMA package. http://math.nist.gov/javanumerics/jama/

See Also:

Serialized Form

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
double	getDeterminant()
Matrix	getL() Return triangular factor.
Matrix	inverseCholesky()
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.

getDeterminant

public double getDeterminant()

inverseCholesky

public Matrix inverseCholesky()