Class MatthewsDavies

    • Constructor Detail

      • MatthewsDavies

        public MatthewsDavies​(Matrix H)
        Constructs a symmetric, positive definite matrix using the Matthews-Davies algorithm. This implementation replaces all zero or negative entries on the diagonal by the smallest positive entry on the diagonal. If all entries in the diagonal are negative, D becomes an identity matrix.
        Parameters:
        H - a non-positive definite matrix
    • Method Detail

      • L

        public LowerTriangularMatrix L()
        Gets the lower triangular matrix L in the LDL decomposition.
        Returns:
        L
      • Lt

        public UpperTriangularMatrix Lt()
        Gets the transpose of the lower triangular matrix L in the LDL decomposition. The transpose is upper triangular.
        Returns:
        Lt
      • D

        public DiagonalMatrix D()
        Gets the diagonal matrix D in the LDL decomposition.
        Returns:
        D
      • Dhat

        public DiagonalMatrix Dhat()
        Gets the modified diagonal matrix which is positive definite.
        Returns:
        D^