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Class linear_algebra.Cholesky 

java.lang.Object
   |
   +----linear_algebra.Cholesky
public class Cholesky
extends Object

This class contains:

  1. a method that obtains the Cholesky factorization RR´, where R is a lower triangular matrix, of a symmetric positive definite matrix A.
  2. a method to invert a symmetric positive definite matrix.
  3. a method to solve Ax = b where A is a symmetric positive definite matrix.

This class was written by a statistician rather than a numerical analyst. I have tried to check the code carefully, but it may still contain bugs. Further, its stability and efficiency do not meet the standards of high quality numerical analysis software. When public domain Java numerical analysis routines become available from numerical analysts (e.g., the people who produce LAPACK), then THE CODE PRODUCED BY THE NUMERICAL ANALYSTS SHOULD BE USED.

Meanwhile, if you have suggestions for improving this code, please contact Steve Verrill at steve@ws10.fpl.fs.fed.us.

Constructor Index

o Cholesky()

Method Index

o factorPosDef(double[][], int)

This method factors the n by n symmetric positive definite matrix A as RR´ where R is a lower triangular matrix.

o invertPosDef(double[][], int, boolean)

This method obtains the inverse of an n by n symmetric positive definite matrix A.

On entrance:
If factored == false, the lower triangle of a[ ][ ] should contain the lower triangle of A.
If factored == true, the lower triangle of a[ ][ ] should contain a lower triangular matrix R such that RR´ = A.
o solvePosDef(double[][], double[], double[], int, boolean)

This method solves the equation 


      Ax = b
where A is a known n by n symmetric positive definite matrix, and b is a known vector of length n.

On entrance:
If factored == false, the lower triangle of a[ ][ ] should contain the lower triangle of A.
If factored == true, the lower triangle of a[ ][ ] should contain a lower triangular matrix R such that RR´ = A.

Constructors

o Cholesky 
 public Cholesky()

Methods

o factorPosDef 
 public void factorPosDef(double a[][],
                          int n) throws NotPosDefException

This method factors the n by n symmetric positive definite matrix A as RR´ where R is a lower triangular matrix. The method assumes that at least the lower triangle of A is filled on entry. On exit, the lower triangle of A has been replaced by R.

Parameters:
a[ ][ ] - The positive definite matrix to factor. The method assumes that at least the lower triangle of a[ ][ ] is filled on entry. On exit the lower triangle of a[ ][ ] has been replaced by R such that RR´ = A.
n - The order of the matrix a[ ][ ].
o solvePosDef 
 public void solvePosDef(double a[][],
                         double b[],
                         double y[],
                         int n,
                         boolean factored) throws NotPosDefException

This method solves the equation 

      Ax = b
where A is a known n by n symmetric positive definite matrix, and b is a known vector of length n.

On entrance:
If factored == false, the lower triangle of a[ ][ ] should contain the lower triangle of A.
If factored == true, the lower triangle of a[ ][ ] should contain a lower triangular matrix R such that RR´ = A.
On exit:
The elements of b have been replaced by the elements of x.

The method proceeds by first factoring A as RR´ where R is a lower triangular matrix. Thus Ax = b is equivalent to R(R´x) = b. Then the method performs two additional operations. First it solves Ry = b for y. Then it solves R´x = y for x. It stores x in b.

Parameters:
a[ ][ ] - On entrance, if the boolean variable factored is false, the lower triangle of a[ ][ ] should contain the lower triangle of A. If factored is true, the lower triangle of a[ ][ ] should contain a lower triangular matrix R such that RR´ = A.
b - On entrance b must contain the known b of Ax = b. On exit it contains the solution x to Ax = b.
y - A work vector of order at least n.
n - The order of A and b.
factored - On entrance, factored should be set to true if A already has been factored, false if A has not yet been factored.
o invertPosDef 
 public void invertPosDef(double a[][],
                          int n,
                          boolean factored) throws NotPosDefException

This method obtains the inverse of an n by n symmetric positive definite matrix A.

On entrance:
If factored == false, the lower triangle of a[ ][ ] should contain the lower triangle of A.
If factored == true, the lower triangle of a[ ][ ] should contain a lower triangular matrix R such that RR´ = A.
On exit:
The lower triangle of a[ ][ ] has been replaced by the lower triangle of the inverse of A.

Parameters:
a[ ][ ] - On entrance, if the boolean variable factored is false, the lower triangle of a[ ][ ] should contain the lower triangle of A. If factored is true, the lower triangle of a[ ][ ] should contain a lower triangular matrix R such that RR´ = A.
n - The order of A.
factored - On entrance, factored should be set to true if A already has been factored, false if A has not yet been factored. 
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