Package org.apache.commons.math.linear

Examples of org.apache.commons.math.linear.CholeskyDecompositionImpl

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    /** test dimensions */
    @Test
    public void testDimensions() throws MathException {
        CholeskyDecomposition llt =
            new CholeskyDecompositionImpl(MatrixUtils.createRealMatrix(testData));
        assertEquals(testData.length, llt.getL().getRowDimension());
        assertEquals(testData.length, llt.getL().getColumnDimension());
        assertEquals(testData.length, llt.getLT().getRowDimension());
        assertEquals(testData.length, llt.getLT().getColumnDimension());
    }
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    }

    /** test non-square matrix */
    @Test(expected = NonSquareMatrixException.class)
    public void testNonSquare() throws MathException {
        new CholeskyDecompositionImpl(MatrixUtils.createRealMatrix(new double[3][2]));
    }
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    /** test non-symmetric matrix */
    @Test(expected = NotSymmetricMatrixException.class)
    public void testNotSymmetricMatrixException() throws MathException {
        double[][] changed = testData.clone();
        changed[0][changed[0].length - 1] += 1.0e-5;
        new CholeskyDecompositionImpl(MatrixUtils.createRealMatrix(changed));
    }
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    }

    /** test non positive definite matrix */
    @Test(expected = NotPositiveDefiniteMatrixException.class)
    public void testNotPositiveDefinite() throws MathException {
        new CholeskyDecompositionImpl(MatrixUtils.createRealMatrix(new double[][] {
                { 14, 11, 13, 15, 24 },
                { 11, 34, 13, 8,  25 },
                { 13, 13, 14, 15, 21 },
                { 15, 8,  15, 18, 23 },
                { 24, 25, 21, 23, 45 }
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        }));
    }

    @Test(expected = NotPositiveDefiniteMatrixException.class)
    public void testMath274() throws MathException {
        new CholeskyDecompositionImpl(MatrixUtils.createRealMatrix(new double[][] {
                { 0.40434286, -0.09376327, 0.30328980, 0.04909388 },
                {-0.09376327,  0.10400408, 0.07137959, 0.04762857 },
                { 0.30328980,  0.07137959, 0.30458776, 0.04882449 },
                { 0.04909388,  0.04762857, 0.04882449, 0.07543265 }
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    /** test A = LLT */
    @Test
    public void testAEqualLLT() throws MathException {
        RealMatrix matrix = MatrixUtils.createRealMatrix(testData);
        CholeskyDecomposition llt = new CholeskyDecompositionImpl(matrix);
        RealMatrix l  = llt.getL();
        RealMatrix lt = llt.getLT();
        double norm = l.multiply(lt).subtract(matrix).getNorm();
        assertEquals(0, norm, 1.0e-15);
    }
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    /** test that L is lower triangular */
    @Test
    public void testLLowerTriangular() throws MathException {
        RealMatrix matrix = MatrixUtils.createRealMatrix(testData);
        RealMatrix l = new CholeskyDecompositionImpl(matrix).getL();
        for (int i = 0; i < l.getRowDimension(); i++) {
            for (int j = i + 1; j < l.getColumnDimension(); j++) {
                assertEquals(0.0, l.getEntry(i, j), 0.0);
            }
        }
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    /** test that LT is transpose of L */
    @Test
    public void testLTTransposed() throws MathException {
        RealMatrix matrix = MatrixUtils.createRealMatrix(testData);
        CholeskyDecomposition llt = new CholeskyDecompositionImpl(matrix);
        RealMatrix l  = llt.getL();
        RealMatrix lt = llt.getLT();
        double norm = l.subtract(lt.transpose()).getNorm();
        assertEquals(0, norm, 1.0e-15);
    }
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                {  4,  5,  6,  0,  0 },
                {  7,  8,  9, 10,  0 },
                { 11, 12, 13, 14, 15 }
        });
       CholeskyDecomposition llt =
            new CholeskyDecompositionImpl(MatrixUtils.createRealMatrix(testData));

        // check values against known references
        RealMatrix l = llt.getL();
        assertEquals(0, l.subtract(lRef).getNorm(), 1.0e-13);
        RealMatrix lt = llt.getLT();
        assertEquals(0, lt.subtract(lRef.transpose()).getNorm(), 1.0e-13);

        // check the same cached instance is returned the second time
        assertTrue(l  == llt.getL());
        assertTrue(lt == llt.getLT());

    }
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    /** test dimensions */
    @Test
    public void testDimensions() throws MathException {
        CholeskyDecomposition llt =
            new CholeskyDecompositionImpl(MatrixUtils.createRealMatrix(testData));
        assertEquals(testData.length, llt.getL().getRowDimension());
        assertEquals(testData.length, llt.getL().getColumnDimension());
        assertEquals(testData.length, llt.getLT().getRowDimension());
        assertEquals(testData.length, llt.getLT().getColumnDimension());
    }
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Related Classes of org.apache.commons.math.linear.CholeskyDecompositionImpl

  • com.opengamma.analytics.math.linearalgebra.CholeskyDecompositionCommons
  • org.apache.commons.math.linear.CholeskyDecompositionImplTest
  • org.apache.commons.math.linear.CholeskySolverTest
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