public static DoubleMatrix cholesky ( DoubleMatrix A ) { DoubleMatrix result = A . dup ( ) ; int info = NativeBlas . dpotrf ( ' ' , A . rows , result . data , 0 , A . rows ) ; if ( info < 0 ) { throw new LapackArgumentException ( "DPOTRF" , - info ) ; } else if ( info > 0 ) { throw new LapackPositivityException ( "DPOTRF" , "Minor " + info + " was negative. Matrix must be positive definite." ) ; } clearLower ( result ) ; return result ; }
Compute Cholesky decomposition of A