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()))); }