Module ndarray_linalg::cholesky

Cholesky decomposition of Hermitian (or real symmetric) positive definite matrices

See the Wikipedia page about Cholesky decomposition for more information.

Example

Calculate L in the Cholesky decomposition A = L * L^H, where A is a Hermitian (or real symmetric) positive definite matrix:

#[macro_use]
extern crate ndarray;
extern crate ndarray_linalg;

use ndarray::prelude::*;
use ndarray_linalg::{CholeskyInto, UPLO};

let a: Array2<f64> = array![
    [  4.,  12., -16.],
    [ 12.,  37., -43.],
    [-16., -43.,  98.]
];
let lower = a.cholesky_into(UPLO::Lower).unwrap();
assert!(lower.all_close(&array![
    [ 2., 0., 0.],
    [ 6., 1., 0.],
    [-8., 5., 3.]
], 1e-9));

Reexports

pub use lapack_traits::UPLO;

Traits

Cholesky	Cholesky decomposition of Hermitian (or real symmetric) positive definite matrix reference
CholeskyInto	Cholesky decomposition of Hermitian (or real symmetric) positive definite matrix
CholeskyMut	Cholesky decomposition of Hermitian (or real symmetric) positive definite mutable reference of matrix