scijs/ndarray-cholesky-factorization

Name: ndarray-cholesky-factorization

Owner: scijs

Description: Cholesky Factorization of ndarrays

Created: 2015-05-02 02:33:25.0

Updated: 2016-12-13 06:56:13.0

Pushed: 2015-05-03 02:57:48.0

Homepage: null

Size: 152

Language: JavaScript

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README

ndarray-cholesky-factorization

A module for calculating the in-place Cholesky decomposition of symmetric, positive-definite matrix.

Installation

install ndarray-cholesky-factorization

Usage

cholesky = require('ndarray-cholesky-factorization');

cholesky(A, L)

Calculates the Cholesky factorization for a symmetric, positive-definite matrix A, which has to be an ndarray. The decomposition splits the matrix into the product of a lower triangular matrix and its transpose, i.e. A = LL^t. The result is stored in-place in L, and the function returns true upon successful completion.

Example

cholesky = require('ndarray-cholesky-factorization'),
pool = require('ndarray-scratch');

A = ndarray(new Float64Array([4,12,-16,12,37,-43,-16,-43,98]), [3, 3]);
L = pool.zeros( A.shape, A.dtype );

esky(A, L)

Unit Tests

Run tests via the command npm test

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License

MIT license.