public void CholeskyDecomposition2()
{
double[][] pvals = { new double[] { 1.0, 1.0, 1.0 }, new double[] { 1.0, 2.0, 3.0 }, new double[] { 1.0, 3.0, 6.0 } };
GeneralMatrix A = new GeneralMatrix(pvals);
CholeskyDecomposition chol = A.chol();
GeneralMatrix X = chol.Solve(GeneralMatrix.Identity(3, 3));
Assert.IsTrue(GeneralTests.Check(A.Multiply(X), GeneralMatrix.Identity(3, 3)));
}
public void CholeskyDecomposition1()
{
double[][] pvals = { new double[] { 1.0, 1.0, 1.0 }, new double[] { 1.0, 2.0, 3.0 }, new double[] { 1.0, 3.0, 6.0 } };
GeneralMatrix A = new GeneralMatrix(pvals);
CholeskyDecomposition chol = A.chol();
GeneralMatrix L = chol.GetL();
Assert.IsTrue(GeneralTests.Check(A, L.Multiply(L.Transpose())));
}
