public class CholeskyWang2006 extends Object implements Cholesky
Constructor and Description |
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CholeskyWang2006(Matrix Sigma,
double epsilon)
Constructs the Cholesky decomposition of a matrix.
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public CholeskyWang2006(Matrix Sigma, double epsilon)
Sigma
- a matrix, e.g., a covariance matrixepsilon
- a precision parameter: when a number |x| ≤ ε, it is considered 0public LowerTriangularMatrix L()
Cholesky
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