This method implements the Cholesky decomposition of a RealMatrix. It can be easily modified to be incorporated under the RealMatrix class and to decompose BigMatrixes as well. I hope you place it in the next release.
Peter P. Lupo Computer Science barchelor student. UFRJ-Brazil http://www.dcc.ufrj.br http://www.ufrj.br /** * Computes the cholesky decomposition of matrix. The return is a lower triangular matrix that may be empty and also coincide with the original matrix. The method only uses the upper right part of the matrix, which must be square, symmetric and positive-definite by definition. * @param matrix * The matrix to decompose. * @return * The matrix with the result, which is lower triangular and has the same dimensions of the original matrix. * @exception InvalidMatrixException * if matrix is not square, symmetric or positive-definite. */ public static RealMatrix choleskyDecomposition(RealMatrix matrix) { if (!matrix.isSquare()) throw new InvalidMatrixException("Not a square/symmetric matrix."); //"matrix" is not square if (!matrix.equals(matrix.transpose())) throw new InvalidMatrixException("Not a symmetric matrix."); //"matrix" is not square double[][] matrixData = matrix.copy().getData(); double[][] cholesky = new double[matrix.getRowDimension()][matrix.getColumnDimension()]; for (int i = 0; i < matrix.getColumnDimension(); i++) { double[] ithRowOfL = cholesky[i]; double[] ithRowOfA = matrixData[i]; for (int j = i; j < matrix.getRowDimension(); j++) { double[] jthRowOfL = cholesky[j]; double sum = ithRowOfA[j]; for (int k = i - 1; k >= 0; k--){ sum -= ithRowOfL[k] * jthRowOfL[k]; } if (i == j) { if (sum <= 0)throw new InvalidMatrixException("Not a positive definite matrix."); //"matrix", with rounding errors is not positive definite if (cholesky != null){ cholesky[j][i] = Math.sqrt(sum); } } else { if (cholesky != null){ cholesky[j][i] = sum / cholesky[i][i]; } if (i < j){ cholesky[i][j] = 0; } } } } return new RealMatrixImpl(cholesky); } --------------------------------------------------------------------- To unsubscribe, e-mail: [EMAIL PROTECTED] For additional commands, e-mail: [EMAIL PROTECTED]
