CholeskyDecomposer.java

/*
 * Licensed to the Hipparchus project under one or more
 * contributor license agreements.  See the NOTICE file distributed with
 * this work for additional information regarding copyright ownership.
 * The Hipparchus project licenses this file to You under the Apache License, Version 2.0
 * (the "License"); you may not use this file except in compliance with
 * the License.  You may obtain a copy of the License at
 *
 *      https://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */

package org.hipparchus.linear;

/** Matrix decomposer using Cholseky decomposition.
 * @since 1.3
 */
public class CholeskyDecomposer implements MatrixDecomposer {

    /** Threshold above which off-diagonal elements are considered too different and matrix not symmetric. */
    private final double relativeSymmetryThreshold;

    /** Threshold below which diagonal elements are considered null and matrix not positive definite. */
    private final double absolutePositivityThreshold;

    /**
     * Creates a Cholesky decomposer with specify threshold for several matrices.
     * @param relativeSymmetryThreshold threshold above which off-diagonal
     * elements are considered too different and matrix not symmetric
     * @param absolutePositivityThreshold threshold below which diagonal
     * elements are considered null and matrix not positive definite
     */
    public CholeskyDecomposer(final double relativeSymmetryThreshold,
                              final double absolutePositivityThreshold) {
        this.relativeSymmetryThreshold   = relativeSymmetryThreshold;
        this.absolutePositivityThreshold = absolutePositivityThreshold;
    }

    /** {@inheritDoc} */
    @Override
    public DecompositionSolver decompose(final RealMatrix a) {
        return new CholeskyDecomposition(a, relativeSymmetryThreshold, absolutePositivityThreshold).
               getSolver();
    }

}