cholesky.hpp File Reference

cholesky decomposition More...

#include <cassert>
#include <boost/numeric/ublas/vector.hpp>
#include <boost/numeric/ublas/vector_proxy.hpp>
#include <boost/numeric/ublas/matrix.hpp>
#include <boost/numeric/ublas/matrix_proxy.hpp>
#include <boost/numeric/ublas/vector_expression.hpp>
#include <boost/numeric/ublas/matrix_expression.hpp>
#include <boost/numeric/ublas/triangular.hpp>

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Functions
template<class MATRIX , class TRIA >
size_t	cholesky_decompose (const MATRIX &A, TRIA &L)
	decompose the symmetric positive definit matrix A into product L L^T. More...
template<class MATRIX >
size_t	cholesky_decompose (MATRIX &A)
	decompose the symmetric positive definit matrix A into product L L^T. More...
template<class MATRIX >
size_t	incomplete_cholesky_decompose (MATRIX &A)
	decompose the symmetric positive definit matrix A into product L L^T. More...
template<class TRIA , class VEC >
void	cholesky_solve (const TRIA &L, VEC &x, ublas::lower)
	solve system L L^T x = b inplace More...

Detailed Description

cholesky decomposition

-*- c++ -*-

Function Documentation

template<class MATRIX , class TRIA >

size_t cholesky_decompose	(	const MATRIX &	A,
		TRIA &	L
	)

decompose the symmetric positive definit matrix A into product L L^T.

Parameters

MATRIX	type of input matrix
TRIA	type of lower triangular output matrix
A	square symmetric positive definite input matrix (only the lower triangle is accessed)
L	lower triangular output matrix

Returns

nonzero if decompositon fails (the value ist 1 + the numer of the failing row)

template<class MATRIX >

size_t cholesky_decompose

(

MATRIX &

A

)

decompose the symmetric positive definit matrix A into product L L^T.

Parameters

MATRIX	type of matrix A
A	input: square symmetric positive definite matrix (only the lower triangle is accessed)
A	output: the lower triangle of A is replaced by the cholesky factor

Returns

nonzero if decompositon fails (the value ist 1 + the numer of the failing row)

template<class TRIA , class VEC >

void cholesky_solve	(	const TRIA &	L,
		VEC &	x,
		ublas::lower
	)

solve system L L^T x = b inplace

Parameters

L	a triangular matrix
x	input: right hand side b; output: solution x

template<class MATRIX >

size_t incomplete_cholesky_decompose

(

MATRIX &

A

)

decompose the symmetric positive definit matrix A into product L L^T.

Parameters

MATRIX	type of matrix A
A	input: square symmetric positive definite matrix (only the lower triangle is accessed)
A	output: the lower triangle of A is replaced by the cholesky factor

Returns

nonzero if decompositon fails (the value ist 1 + the numer of the failing row)