BRISC::Matrix::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...

List of all members.

Public Member Functions
	CholeskyDecomposition (GeneralMatrix Arg)
	Cholesky algorithm for symmetric and positive definite matrix.
virtual GeneralMatrix	GetL ()
	Return triangular factor.
virtual GeneralMatrix	Solve (GeneralMatrix B)
	Solve A*X = B.
Properties
virtual bool	SPD [get]
	Is the matrix symmetric and positive definite?
Private Attributes
double[][]	L
	Array for internal storage of decomposition. internal array storage.
int	n
	Row and column dimension (square matrix). matrix dimension.
bool	isspd
	Symmetric and positive definite flag. is symmetric and positive definite flag.

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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.

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Constructor & Destructor Documentation

BRISC::Matrix::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.

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Member Function Documentation

virtual GeneralMatrix BRISC::Matrix::CholeskyDecomposition::GetL

(

)

[inline, virtual]

Return triangular factor.

Returns:

L

virtual GeneralMatrix BRISC::Matrix::CholeskyDecomposition::Solve

(

GeneralMatrix

B

)

[inline, virtual]

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.

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Property Documentation

virtual bool BRISC::Matrix::CholeskyDecomposition::SPD [get]

Is the matrix symmetric and positive definite?

Returns:

true if A is symmetric and positive definite.

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

• C:/Documents and Settings/mlam/My Documents/svn-sf-main/src/Matrix/CholeskyDecomposition.cs

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