org.apache.spark.mllib.linalg

Class CholeskyDecomposition

java.lang.Object

org.apache.spark.mllib.linalg.CholeskyDecomposition

public class CholeskyDecomposition
extends java.lang.Object

Compute Cholesky decomposition.

Constructor Summary

Constructors

Constructor and Description
CholeskyDecomposition()

Method Summary

Methods

Modifier and Type	Method and Description
static double[]	inverse(double[] UAi, int k) Computes the inverse of a real symmetric positive definite matrix A using the Cholesky factorization A = U**T*U.
static double[]	solve(double[] A, double[] bx) Solves a symmetric positive definite linear system via Cholesky factorization.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CholeskyDecomposition

public CholeskyDecomposition()

Method Detail

solve

public static double[] solve(double[] A,
             double[] bx)

Solves a symmetric positive definite linear system via Cholesky factorization. The input arguments are modified in-place to store the factorization and the solution.

Parameters:

A - the upper triangular part of A

bx - right-hand side

Returns:

the solution array

inverse

public static double[] inverse(double[] UAi,
               int k)

Computes the inverse of a real symmetric positive definite matrix A using the Cholesky factorization A = U**T*U. The input arguments are modified in-place to store the inverse matrix.

Parameters:

UAi - the upper triangular factor U from the Cholesky factorization A = U**T*U

k - the dimension of A

Returns:

the upper triangle of the (symmetric) inverse of A