/// <summary> /// Run example /// </summary> /// <seealso cref="http://en.wikipedia.org/wiki/Cholesky_decomposition">Cholesky decomposition</seealso> public void Run() { // Format matrix output to console var formatProvider = (CultureInfo)CultureInfo.InvariantCulture.Clone(); formatProvider.TextInfo.ListSeparator = " "; // Create square, symmetric, positive definite matrix var matrix = new DenseMatrix(new[,] { { 2.0, 1.0 }, { 1.0, 2.0 } }); Console.WriteLine(@"Initial square, symmetric, positive definite matrix"); Console.WriteLine(matrix.ToString("#0.00\t", formatProvider)); Console.WriteLine(); // Perform Cholesky decomposition var cholesky = matrix.Cholesky(); Console.WriteLine(@"Perform Cholesky decomposition"); // 1. Lower triangular form of the Cholesky matrix Console.WriteLine(@"1. Lower triangular form of the Cholesky matrix"); Console.WriteLine(cholesky.Factor.ToString("#0.00\t", formatProvider)); Console.WriteLine(); // 2. Reconstruct initial matrix: A = L * LT var reconstruct = cholesky.Factor * cholesky.Factor.Transpose(); Console.WriteLine(@"2. Reconstruct initial matrix: A = L*LT"); Console.WriteLine(reconstruct.ToString("#0.00\t", formatProvider)); Console.WriteLine(); // 3. Get determinant of the matrix Console.WriteLine(@"3. Determinant of the matrix"); Console.WriteLine(cholesky.Determinant); Console.WriteLine(); // 4. Get log determinant of the matrix Console.WriteLine(@"4. Log determinant of the matrix"); Console.WriteLine(cholesky.DeterminantLn); Console.WriteLine(); }
public void CholeskyFailsWithNonSquareMatrix() { var matrix = new DenseMatrix(3, 2); Assert.That(() => matrix.Cholesky(), Throws.ArgumentException); }