choleski.hh

   1 #ifndef CHOLESKI_HH
   2 #define CHOLESKI_HH
   3
   4 #include "matrix.hh"
   5
   6 struct Choleski_decomposition {
   7
   8     /// lower triangle of Choleski decomposition
   9     Matrix L;
  10
  11     /// diagonal
  12     Vector D;
  13     ///Create decomposition of P
  14     Choleski_decomposition(Matrix P);
  15     /**
  16     PRE
  17     P needs to be symmetric positive definite
  18     */
  19
  20     Vector solve(Vector rhs) const;
  21     Vector operator * (Vector rhs) const { return solve (rhs); }
  22     /**
  23     solve Px = rhs
  24     */
  25
  26     Matrix inverse() const;
  27     /**
  28     return the inverse of the matrix P.
  29     */
  30
  31     Matrix original() const;
  32     /**
  33     return P,  calc'ed from L and D
  34     */
  35
  36 };
  37 /**
  38     structure for using the LU decomposition of a positive definite .
  39
  40     #P# is split  into
  41
  42     LD transpose(L)
  43     */
  44
  45
  46 #endif