Functions
cholesky.hpp File Reference

cholesky decomposition More...

#include <cassert>
#include <boost/numeric/ublas/vector.hpp>
#include <boost/numeric/ublas/vector_proxy.hpp>
#include <boost/numeric/ublas/matrix.hpp>
#include <boost/numeric/ublas/matrix_proxy.hpp>
#include <boost/numeric/ublas/vector_expression.hpp>
#include <boost/numeric/ublas/matrix_expression.hpp>
#include <boost/numeric/ublas/triangular.hpp>
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Functions

template<class MATRIX , class TRIA >
size_t cholesky_decompose (const MATRIX &A, TRIA &L)
 decompose the symmetric positive definit matrix A into product L L^T.
template<class MATRIX >
size_t cholesky_decompose (MATRIX &A)
 decompose the symmetric positive definit matrix A into product L L^T.
template<class TRIA , class VEC >
void cholesky_solve (const TRIA &L, VEC &x, ublas::lower)
 solve system L L^T x = b inplace
template<class MATRIX >
size_t incomplete_cholesky_decompose (MATRIX &A)
 decompose the symmetric positive definit matrix A into product L L^T.

Detailed Description

cholesky decomposition

-*- c++ -*-

Definition in file cholesky.hpp.


Function Documentation

template<class MATRIX , class TRIA >
size_t cholesky_decompose ( const MATRIX &  A,
TRIA &  L 
)

decompose the symmetric positive definit matrix A into product L L^T.

Parameters:
MATRIXtype of input matrix
TRIAtype of lower triangular output matrix
Asquare symmetric positive definite input matrix (only the lower triangle is accessed)
Llower triangular output matrix
Returns:
nonzero if decompositon fails (the value ist 1 + the numer of the failing row)

Definition at line 52 of file cholesky.hpp.

template<class MATRIX >
size_t cholesky_decompose ( MATRIX &  A)

decompose the symmetric positive definit matrix A into product L L^T.

Parameters:
MATRIXtype of matrix A
Ainput: square symmetric positive definite matrix (only the lower triangle is accessed)
Aoutput: the lower triangle of A is replaced by the cholesky factor
Returns:
nonzero if decompositon fails (the value ist 1 + the numer of the failing row)

Definition at line 94 of file cholesky.hpp.

template<class TRIA , class VEC >
void cholesky_solve ( const TRIA &  L,
VEC &  x,
ublas::lower   
)

solve system L L^T x = b inplace

Parameters:
La triangular matrix
xinput: right hand side b; output: solution x

Definition at line 221 of file cholesky.hpp.

template<class MATRIX >
size_t incomplete_cholesky_decompose ( MATRIX &  A)

decompose the symmetric positive definit matrix A into product L L^T.

Parameters:
MATRIXtype of matrix A
Ainput: square symmetric positive definite matrix (only the lower triangle is accessed)
Aoutput: the lower triangle of A is replaced by the cholesky factor
Returns:
nonzero if decompositon fails (the value ist 1 + the numer of the failing row)

Definition at line 173 of file cholesky.hpp.



gaussian_process
Author(s): Maintained by Juergen Sturm
autogenerated on Mon Oct 6 2014 00:09:34