public class CholeskyDecomposition extends Object
The Cholesky decomposition of a real symmetric positive-definite matrix A consists of a lower triangular matrix L with same size such that: A = LLT. In a sense, this is the square root of A.
This class is based on the class with similar name from the JAMA library, with the following changes:
getLT method has been added,isspd method has been removed, since the constructor of
this class throws a NonPositiveDefiniteMatrixException when a
matrix cannot be decomposed,getDeterminant method has been added,solve method has been replaced by a getSolver method and the equivalent method provided by the returned
DecompositionSolver.| Modifier and Type | Field and Description |
|---|---|
static double |
DEFAULT_ABSOLUTE_POSITIVITY_THRESHOLD
Default threshold below which diagonal elements are considered null
and matrix not positive definite.
|
static double |
DEFAULT_RELATIVE_SYMMETRY_THRESHOLD
Default threshold above which off-diagonal elements are considered too different
and matrix not symmetric.
|
| Constructor and Description |
|---|
CholeskyDecomposition(RealMatrix matrix)
Calculates the Cholesky decomposition of the given matrix.
|
CholeskyDecomposition(RealMatrix matrix,
double relativeSymmetryThreshold,
double absolutePositivityThreshold)
Calculates the Cholesky decomposition of the given matrix.
|
| Modifier and Type | Method and Description |
|---|---|
double |
getDeterminant()
Return the determinant of the matrix
|
RealMatrix |
getL()
Returns the matrix L of the decomposition.
|
RealMatrix |
getLT()
Returns the transpose of the matrix L of the decomposition.
|
DecompositionSolver |
getSolver()
Get a solver for finding the A × X = B solution in least square sense.
|
public static final double DEFAULT_RELATIVE_SYMMETRY_THRESHOLD
public static final double DEFAULT_ABSOLUTE_POSITIVITY_THRESHOLD
public CholeskyDecomposition(RealMatrix matrix)
Calling this constructor is equivalent to call CholeskyDecomposition(RealMatrix, double, double) with the
thresholds set to the default values DEFAULT_RELATIVE_SYMMETRY_THRESHOLD and DEFAULT_ABSOLUTE_POSITIVITY_THRESHOLD
matrix - the matrix to decomposeNonSquareMatrixException - if the matrix is not square.NonSymmetricMatrixException - if the matrix is not symmetric.NonPositiveDefiniteMatrixException - if the matrix is not
strictly positive definite.CholeskyDecomposition(RealMatrix, double, double),
DEFAULT_RELATIVE_SYMMETRY_THRESHOLD,
DEFAULT_ABSOLUTE_POSITIVITY_THRESHOLDpublic CholeskyDecomposition(RealMatrix matrix, double relativeSymmetryThreshold, double absolutePositivityThreshold)
matrix - the matrix to decomposerelativeSymmetryThreshold - threshold above which off-diagonal
elements are considered too different and matrix not symmetricabsolutePositivityThreshold - threshold below which diagonal
elements are considered null and matrix not positive definiteNonSquareMatrixException - if the matrix is not square.NonSymmetricMatrixException - if the matrix is not symmetric.NonPositiveDefiniteMatrixException - if the matrix is not
strictly positive definite.CholeskyDecomposition(RealMatrix),
DEFAULT_RELATIVE_SYMMETRY_THRESHOLD,
DEFAULT_ABSOLUTE_POSITIVITY_THRESHOLDpublic RealMatrix getL()
L is an lower-triangular matrix
public RealMatrix getLT()
LT is an upper-triangular matrix
public double getDeterminant()
public DecompositionSolver getSolver()
Copyright © 2003–2016 The Apache Software Foundation. All rights reserved.