nuget
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.
CholeskyDecomposition
01 Syntax
Microsoft.VisualBasic.Math.LinearAlgebra.Matrix.CholeskyDecomposition
02 Methods
03 Properties
| Name | Overloads | Summary |
|---|---|---|
| SPD | 1 | Is the matrix symmetric and positive definite? |
04 Fields
05 Members
#ctor(GeneralMatrix)
Cholesky algorithm for symmetric and positive definite matrix. returns Structure to access L and isspd flag.
Parameters
| Name | Type | Description |
|---|---|---|
Arg | GeneralMatrix | Square, symmetric matrix. |
GetL
Return triangular factor.
Returns
L
Solve(GeneralMatrix)
Solve A*X = B
Parameters
| Name | Type | Description |
|---|---|---|
B | GeneralMatrix | A Matrix with as many rows as A and any number of columns. |
Returns
X so that LL'X = B
SPD
Is the matrix symmetric and positive definite?
Returns
true if A is symmetric and positive definite.
L
Array for internal storage of decomposition. @serial internal array storage.
n
Row and column dimension (square matrix). @serial matrix dimension.
isspd
Symmetric and positive definite flag. @serial is symmetric and positive definite flag.