class Reem::CholeskyFactorization
Public Class Methods
new(matrix)
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# File lib/reem/cholesky_factorization.rb, line 3 def initialize(matrix) @matrix = matrix @lower = LowerTriangularMatrix.new(matrix) decompose! end
Public Instance Methods
decompose!()
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# File lib/reem/cholesky_factorization.rb, line 9 def decompose! @lower.n.times do |j| # Sqrt the diagonal @lower[j,j] = Math::sqrt(@lower[j,j]) # Divide the subdiagonal colum by the diagonal (j + 1...@lower.m).each do |i| @lower[i,j] = @lower[i,j] / @lower[j,j] end # symmetric rank 1 update # subtract the crossproduct of the # subdiagonal column from the remaining # lower diagonal (j+1...@lower.n).each do |k| (k...@lower.m).each do |l| @lower[l,k] = @lower[l, k] - @lower[l,k] * @lower[k,j] end end end @upper = @lower.transpose end