fr.cnes.sirius.patrius.math.optim.joptimizer.algebra

Class CholeskyFactorization

java.lang.Object

fr.cnes.sirius.patrius.math.optim.joptimizer.algebra.CholeskyFactorization

public final class CholeskyFactorization
extends Object

Cholesky L.L[T] factorization and inverse for symmetric and positive matrix: Q = L.L[T], L lower-triangular Just the subdiagonal elements of Q are used.

The main difference with CholeskyDecomposition is that this implementation contains a rescaler MatrixRescaler in order to cope with badly conditioned matrices.

Since:

4.6

Author:

alberto trivellato

Constructor Summary

Constructors

Constructor and Description
CholeskyFactorization(RealMatrix matQ) Constructor defining matrix Q, and null rescaler (to avoid rescaling)
CholeskyFactorization(RealMatrix matQ, MatrixRescaler res) Constructor defining matrix Q and rescaler

Method Summary

Modifier and Type	Method and Description
void	factorize() Calculates the Cholesky factorization with false checkSymmetry
void	factorize(boolean checkSymmetry) Cholesky factorization L of psd matrix, Q = L.LT.
RealMatrix	getInverse() Compute the inverse of the matrix.
RealMatrix	getL() Returns the matrix L of the decomposition.
RealMatrix	getLT() Returns the transpose of the matrix L of the decomposition.
RealMatrix	solve(RealMatrix b) Solver for system AX = b.
RealVector	solve(RealVector b) Solver for system AX = b.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CholeskyFactorization

public CholeskyFactorization(RealMatrix matQ)
                      throws PatriusException

Constructor defining matrix Q, and null rescaler (to avoid rescaling)

Parameters:

matQ - matrix Q

Throws:

PatriusException - if an error occurs

CholeskyFactorization

public CholeskyFactorization(RealMatrix matQ,
                             MatrixRescaler res)
                      throws PatriusException

Constructor defining matrix Q and rescaler

Parameters:

matQ - the matrix to factorize

res - a matrix rescaling implementation for balancing the factorization

Throws:

PatriusException - if an error occurs

Method Detail

factorize

public void factorize()
               throws PatriusException

Calculates the Cholesky factorization with false checkSymmetry

Throws:

PatriusException - if an error occurs

factorize

public void factorize(boolean checkSymmetry)
               throws PatriusException

Cholesky factorization L of psd matrix, Q = L.LT. Construction of the matrix L.

Parameters:

checkSymmetry - check matrix symmetry?

Throws:

PatriusException - if an error occurs

getInverse

public RealMatrix getInverse()

Compute the inverse of the matrix.

Returns:

the inverse matrix Q

solve

public RealVector solve(RealVector b)

Solver for system AX = b.

Parameters:

b - vector

Returns:

result X

solve

public RealMatrix solve(RealMatrix b)

Solver for system AX = b.

Parameters:

b - matrix

Returns:

result X

getL

public RealMatrix getL()

Returns the matrix L of the decomposition.

L is an lower-triangular matrix

Returns:

the L matrix

getLT

public RealMatrix getLT()

Returns the transpose of the matrix L of the decomposition.

L^T is an upper-triangular matrix

Returns:

the transpose of the matrix L of the decomposition