DotNetMatrix.CholeskyDecomposition Class Reference

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. More...

Inheritance diagram for DotNetMatrix.CholeskyDecomposition:

Collaboration diagram for DotNetMatrix.CholeskyDecomposition:

Public Member Functions
	CholeskyDecomposition (GeneralMatrix Arg)
	Cholesky algorithm for symmetric and positive definite matrix. More...
virtual GeneralMatrix	GetL ()
	Return triangular factor. More...
virtual GeneralMatrix	Solve (GeneralMatrix B)
	Solve A*X = B More...
	CholeskyDecomposition (GeneralMatrix Arg)
	Cholesky algorithm for symmetric and positive definite matrix. More...
virtual GeneralMatrix	GetL ()
	Return triangular factor. More...
virtual GeneralMatrix	Solve (GeneralMatrix B)
	Solve A*X = B More...

Properties
virtual bool	SPD [get]
	Is the matrix symmetric and positive definite? More...

Private Member Functions
void ISerializable.	GetObjectData (SerializationInfo info, StreamingContext context)
void ISerializable.	GetObjectData (SerializationInfo info, StreamingContext context)

Private Attributes
double[][]	L
	Array for internal storage of decomposition. internal array storage. More...
int	n
	Row and column dimension (square matrix). matrix dimension. More...
bool	isspd
	Symmetric and positive definite flag. is symmetric and positive definite flag. More...

Detailed Description

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 & Destructor Documentation

DotNetMatrix.CholeskyDecomposition.CholeskyDecomposition ( GeneralMatrix  Arg )

inline

Cholesky algorithm for symmetric and positive definite matrix.

Parameters

Arg	Square, symmetric matrix.

Returns

Structure to access L and isspd flag.

References DotNetMatrix.GeneralMatrix.Array, DotNetMatrix.GeneralMatrix.ColumnDimension, DotNetMatrix.CholeskyDecomposition.n, and DotNetMatrix.GeneralMatrix.RowDimension.

DotNetMatrix.CholeskyDecomposition.CholeskyDecomposition ( GeneralMatrix  Arg )

inline

Cholesky algorithm for symmetric and positive definite matrix.

Parameters

Arg	Square, symmetric matrix.

Returns

Structure to access L and isspd flag.

References DotNetMatrix.GeneralMatrix.Array, DotNetMatrix.GeneralMatrix.ColumnDimension, DotNetMatrix.CholeskyDecomposition.n, and DotNetMatrix.GeneralMatrix.RowDimension.

Member Function Documentation

virtual GeneralMatrix DotNetMatrix.CholeskyDecomposition.GetL ( )

inlinevirtual

Return triangular factor.

Returns

L

Referenced by DotNetMatrix.test.TestMatrix.Main().

virtual GeneralMatrix DotNetMatrix.CholeskyDecomposition.Solve ( GeneralMatrix  B )

inlinevirtual

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

Exceptions

System.ArgumentException	Matrix row dimensions must agree.
System.SystemException	Matrix is not symmetric positive definite.

References DotNetMatrix.GeneralMatrix.ArrayCopy, DotNetMatrix.GeneralMatrix.ColumnDimension, DotNetMatrix.CholeskyDecomposition.n, and DotNetMatrix.GeneralMatrix.RowDimension.

Referenced by DotNetMatrix.test.TestMatrix.Main().

void ISerializable. DotNetMatrix.CholeskyDecomposition.GetObjectData ( SerializationInfo  info, StreamingContext  context  )

inlineprivate

virtual GeneralMatrix DotNetMatrix.CholeskyDecomposition.GetL ( )

inlinevirtual

Return triangular factor.

Returns

L

virtual GeneralMatrix DotNetMatrix.CholeskyDecomposition.Solve ( GeneralMatrix  B )

inlinevirtual

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

Exceptions

System.ArgumentException	Matrix row dimensions must agree.
System.SystemException	Matrix is not symmetric positive definite.

References DotNetMatrix.GeneralMatrix.ArrayCopy, DotNetMatrix.GeneralMatrix.ColumnDimension, DotNetMatrix.CholeskyDecomposition.n, and DotNetMatrix.GeneralMatrix.RowDimension.

void ISerializable. DotNetMatrix.CholeskyDecomposition.GetObjectData ( SerializationInfo  info, StreamingContext  context  )

inlineprivate

Member Data Documentation

double [][] DotNetMatrix.CholeskyDecomposition.L

private

Array for internal storage of decomposition. internal array storage.

int DotNetMatrix.CholeskyDecomposition.n

private

Row and column dimension (square matrix). matrix dimension.

Referenced by DotNetMatrix.CholeskyDecomposition.CholeskyDecomposition(), and DotNetMatrix.CholeskyDecomposition.Solve().

bool DotNetMatrix.CholeskyDecomposition.isspd

private

Symmetric and positive definite flag. is symmetric and positive definite flag.

Property Documentation

bool DotNetMatrix.CholeskyDecomposition.SPD

get

Is the matrix symmetric and positive definite?

Returns

true if A is symmetric and positive definite.

---

The documentation for this class was generated from the following file:

• igtest/numerics/DotMatrix/Backup/CholeskyDecomposition.cs