
org.jeometry.simple.math.decomposition.SimpleCholeskyDecomposition Maven / Gradle / Ivy
package org.jeometry.simple.math.decomposition;
import java.util.ArrayList;
import java.util.List;
import org.jeometry.Jeometry;
import org.jeometry.factory.JeometryFactory;
import org.jeometry.math.Matrix;
import org.jeometry.math.Vector;
import org.jeometry.math.decomposition.CholeskyDecomposition;
/**
* A simple implementation of {@link CholeskyDecomposition Cholesky decomposition}.
* This implantation is inspired by Jama Cholesky Decomposition.
* @author Julien Seinturier - COMEX S.A. - [email protected] - https://github.com/jorigin/jeometry
* @version {@value Jeometry#version} b{@value Jeometry#BUILD}
* @since 1.0.2
*/
public class SimpleCholeskyDecomposition implements CholeskyDecomposition {
private Matrix u = null;
/**
* Array for internal storage of decomposition.
*/
private double[][] R;
/**
* Row and column dimension (square matrix).
*/
private int n;
/**
* Symmetric and positive definite flag.
*/
private boolean isspd;
/**
* Create a new {@link CholeskyDecomposition Cholesky decomposition} of the given matrix.
* @param matrix the matrix to decompose
*/
public SimpleCholeskyDecomposition(Matrix matrix) {
// Initialize.
n = matrix.getRowsCount();
R = new double[n][n];
isspd = (matrix.getColumnsCount() == n);
// Main loop.
for (int j = 0; j < n; j++) {
double[] Lrowj = R[j];
double d = 0.0;
for (int k = 0; k < j; k++) {
double[] Lrowk = R[k];
double s = 0.0;
for (int i = 0; i < k; i++) {
s += Lrowk[i]*Lrowj[i];
}
Lrowj[k] = s = (matrix.getValue(j, k) - s)/R[k][k];
d = d + s*s;
isspd = isspd & (matrix.getValue(k, j) == matrix.getValue(j, k));
}
d = matrix.getValue(j, j) - d;
isspd = isspd & (d > 0.0);
R[j][j] = Math.sqrt(Math.max(d,0.0));
for (int k = j+1; k < n; k++) {
R[j][k] = 0.0;
}
}
u = JeometryFactory.createMatrix(R);
}
@Override
public List getComponents() {
List list = new ArrayList(1);
list.add(u);
return list;
}
@Override
public Matrix getR() {
return u;
}
@Override
public Matrix solve(Matrix b) {
return solve(b, JeometryFactory.createMatrix(b));
}
@Override
public Matrix solve(Matrix b, Matrix x) {
if (b == null) {
throw new IllegalArgumentException("Null constant vector.");
}
if (b.getRowsCount() != n) {
throw new IllegalArgumentException("Invalid constant matrix rows count "+b.getRowsCount()+", expected "+n);
}
if (x == null) {
throw new IllegalArgumentException("Null result vector.");
}
if (x.getRowsCount() != b.getRowsCount()) {
throw new IllegalArgumentException("Invalid constant matrix rows count "+b.getRowsCount()+", expected "+n);
}
if (!isspd) {
throw new RuntimeException("Cholesky cannot resolve from non symmetric positive definite matrix.");
}
// Copy right hand side.
int nx = b.getColumnsCount();
x.setValues(b);
// Solve L*Y = B;
for (int k = 0; k < n; k++) {
for (int j = 0; j < nx; j++) {
for (int i = 0; i < k ; i++) {
x.setValue(k, j, x.getValue(k, j) - x.getValue(i, j)*R[k][i]);
}
x.setValue(k, j, x.getValue(k, j) / R[k][k]);
}
}
// Solve L'*X = Y;
for (int k = n-1; k >= 0; k--) {
for (int j = 0; j < nx; j++) {
for (int i = k+1; i < n ; i++) {
x.setValue(k, j, x.getValue(k, j) - x.getValue(i, j)*R[i][k]);
}
x.setValue(k, j, x.getValue(k, j) / R[k][k]);
}
}
return x;
}
@Override
public Vector solve(Vector b) {
return solve(b, JeometryFactory.createVector(b));
}
@Override
public Vector solve(Vector b, Vector x) {
if (b == null) {
throw new IllegalArgumentException("Null constant vector.");
}
if (b.getDimension() != n) {
throw new IllegalArgumentException("Invalid constant matrix rows count "+b.getDimension()+", expected "+n);
}
if (x == null) {
throw new IllegalArgumentException("Null result vector.");
}
if (x.getDimension() != n) {
throw new IllegalArgumentException("Invalid constant matrix rows count "+b.getDimension()+", expected "+n);
}
if (!isspd) {
throw new RuntimeException("Cholesky cannot resolve from non symmetric positive definite matrix.");
}
x.setComponents(b);
// Solve L*Y = B;
for (int k = 0; k < n; k++) {
for (int i = 0; i < k ; i++) {
x.setVectorComponent(k, x.getVectorComponent(k) - x.getVectorComponent(i)*R[k][i]);
}
x.setVectorComponent(k, x.getVectorComponent(k) / R[k][k]);
}
// Solve L'*X = Y;
for (int k = n-1; k >= 0; k--) {
for (int i = k+1; i < n ; i++) {
x.setVectorComponent(k, x.getVectorComponent(k) - x.getVectorComponent(i)*R[i][k]);
}
x.setVectorComponent(k, x.getVectorComponent(k) / R[k][k]);
}
//return new Matrix(X,n,nx);
return x;
}
/** Check if the input matrix symmetric and positive definite.
* @return true
if the input matrix is symmetric and positive definite and false
otherwise
*/
public boolean isSPD () {
return isspd;
}
}
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