Class CholeskyWang2006

  • All Implemented Interfaces:
    Cholesky

    public class CholeskyWang2006
    extends Object
    implements Cholesky
    Cholesky decomposition works only for a positive definite matrix. If a matrix is not positive definite, Wang (2006) suggests to first do an eigen decomposition. Second, force the non-negative diagonal elements in the diagonal matrix to be a small non-negative number, e.g., 0. Third, re-construct a positive definite matrix from the new diagonal elements. Finally, Cholesky decomposition can proceed as usual to the "modified" matrix.
    • Constructor Detail

      • CholeskyWang2006

        public CholeskyWang2006​(Matrix Sigma,
                                double epsilon)
        Constructs the Cholesky decomposition of a matrix.
        Parameters:
        Sigma - a matrix, e.g., a covariance matrix
        epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0