Class CholeskyDecomposition

Computes Cholesky decomposition/factorization L of matrix A A must be symmetric and positive-definite computed lower-triangular matrix L satisfies L*L^T = A. https://en.wikipedia.org/wiki/Cholesky_decomposition

Inheritance
Object
CholeskyDecomposition
Inherited Members
Namespace: g3
Assembly: cs.temp.dll.dll
Syntax
public class CholeskyDecomposition

Constructors

CholeskyDecomposition(DenseMatrix)

Declaration
public CholeskyDecomposition(DenseMatrix m)
Parameters
Type Name Description
DenseMatrix m

Fields

A

Declaration
public DenseMatrix A
Field Value
Type Description
DenseMatrix

L

Declaration
public DenseMatrix L
Field Value
Type Description
DenseMatrix

Methods

Compute()

Declaration
public bool Compute()
Returns
Type Description
Boolean

ComputeParallel()

Parallel version of Cholesky Decomposition, is about 2x faster on 4-cpu/8-HT

Declaration
public bool ComputeParallel()
Returns
Type Description
Boolean

Solve(Double[], Double[], Double[])

Solve A*X=B via backsubstitution in cholesky factorization Requires temporary vector Y

Declaration
public void Solve(double[] B, double[] X, double[] Y)
Parameters
Type Name Description
Double[] B
Double[] X
Double[] Y