Package org.hipparchus.linear
Class SemiDefinitePositiveCholeskyDecomposition
- java.lang.Object
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- org.hipparchus.linear.SemiDefinitePositiveCholeskyDecomposition
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public class SemiDefinitePositiveCholeskyDecomposition extends Object
Calculates the Cholesky decomposition of a positive semidefinite matrix.The classic Cholesky decomposition (
CholeskyDecomposition
) applies to real symmetric positive-definite matrix. This class extends the Cholesky decomposition to positive semidefinite matrix. The main application is for estimation based on the Unscented Kalman Filter.- Since:
- 2.2
- See Also:
- "J. Hartikainen, A. Solin, and S. Särkkä. Optimal filtering with Kalman filters and smoothers, Dept. of Biomedica Engineering and Computational Sciences, Aalto University School of Science, Aug. 2011."
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Field Summary
Fields Modifier and Type Field Description static double
POSITIVITY_THRESHOLD
Default threshold below which elements are not considered positive.
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Constructor Summary
Constructors Constructor Description SemiDefinitePositiveCholeskyDecomposition(RealMatrix matrix)
Calculates the Cholesky decomposition of the given matrix.SemiDefinitePositiveCholeskyDecomposition(RealMatrix matrix, double positivityThreshold)
Calculates the Cholesky decomposition of the given matrix.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description RealMatrix
getL()
Returns the matrix L of the decomposition.RealMatrix
getLT()
Returns the transpose of the matrix L of the decomposition.
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Field Detail
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POSITIVITY_THRESHOLD
public static final double POSITIVITY_THRESHOLD
Default threshold below which elements are not considered positive.- See Also:
- Constant Field Values
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Constructor Detail
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SemiDefinitePositiveCholeskyDecomposition
public SemiDefinitePositiveCholeskyDecomposition(RealMatrix matrix)
Calculates the Cholesky decomposition of the given matrix.- Parameters:
matrix
- the matrix to decompose- Throws:
MathIllegalArgumentException
- if the matrix is not square.- See Also:
SemiDefinitePositiveCholeskyDecomposition(RealMatrix, double)
,POSITIVITY_THRESHOLD
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SemiDefinitePositiveCholeskyDecomposition
public SemiDefinitePositiveCholeskyDecomposition(RealMatrix matrix, double positivityThreshold)
Calculates the Cholesky decomposition of the given matrix.- Parameters:
matrix
- the matrix to decomposepositivityThreshold
- threshold below which elements are not considered positive- Throws:
MathIllegalArgumentException
- if the matrix is not square.
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Method Detail
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getL
public RealMatrix getL()
Returns the matrix L of the decomposition.L is an lower-triangular matrix
- Returns:
- the L matrix
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getLT
public RealMatrix getLT()
Returns the transpose of the matrix L of the decomposition.LT is an upper-triangular matrix
- Returns:
- the transpose of the matrix L of the decomposition
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