C# Class YAMP.Numerics.CholeskyDecomposition

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.

Inheritance: DirectSolver

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Public Methods

Method	Description
CholeskyDecomposition ( MatrixValue Arg ) : YAMP	Cholesky algorithm for symmetric and positive definite matrix.
GetL ( ) : MatrixValue	Return triangular factor.
Solve ( MatrixValue B ) : MatrixValue	Solve A*X = B

Method Details

CholeskyDecomposition() public method

Cholesky algorithm for symmetric and positive definite matrix.

public CholeskyDecomposition ( MatrixValue Arg ) : YAMP
Arg	YAMP.MatrixValue	Square, symmetric matrix.
return	YAMP

GetL() public method

Return triangular factor.

public GetL ( ) : MatrixValue
return	YAMP.MatrixValue

Solve() public method

Solve A*X = B

public Solve ( MatrixValue B ) : MatrixValue
B	YAMP.MatrixValue	A Matrix with as many rows as A and any number of columns. ///
return	YAMP.MatrixValue