Jama

Class CholeskyDecomposition

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

CholeskyDecomposition(Matrix Arg)
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

Constructor Details

CholeskyDecomposition

public CholeskyDecomposition(Matrix Arg)
Cholesky algorithm for symmetric and positive definite matrix.
Parameters:

Method Details

getL

public Matrix getL()
Return triangular factor.
Returns:
L

isSPD

public boolean isSPD()
Is the matrix symmetric and positive definite?
Returns:
true if A is symmetric and positive definite.

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