Class CholeskyWang2006
- java.lang.Object
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- dev.nm.algebra.linear.matrix.doubles.factorization.triangle.cholesky.CholeskyWang2006
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- 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.
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Constructor Summary
Constructors Constructor Description CholeskyWang2006(Matrix Sigma, double epsilon)
Constructs the Cholesky decomposition of a matrix.
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Constructor Detail
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CholeskyWang2006
public CholeskyWang2006(Matrix Sigma, double epsilon)
Constructs the Cholesky decomposition of a matrix.- Parameters:
Sigma
- a matrix, e.g., a covariance matrixepsilon
- a precision parameter: when a number |x| ≤ ε, it is considered 0
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Method Detail
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L
public LowerTriangularMatrix L()
Description copied from interface:Cholesky
Get the lower triangular matrix L.
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