Navigation

mmf.math.linalg.cholesky.cholesky_

se99(A) Return (L, e): the Schnabel-Eskow generalized Cholesky

Modified Cholesky.

This module provides different methods for computing the Modified Cholesky Factorization of a symmetric matrix

System Message: WARNING/2 (\mat{A} = \mat{A}^{T})

latex exited with error: [stderr] [stdout] This is pdfTeX, Version 3.1415926-1.40.10 (TeX Live 2009/Debian) entering extended mode (./math.tex LaTeX2e <2009/09/24> Babel <v3.8l> and hyphenation patterns for english, usenglishmax, dumylang, noh yphenation, farsi, arabic, croatian, bulgarian, ukrainian, russian, czech, slov ak, danish, dutch, finnish, french, basque, ngerman, german, german-x-2009-06-1 9, ngerman-x-2009-06-19, ibycus, monogreek, greek, ancientgreek, hungarian, san skrit, italian, latin, latvian, lithuanian, mongolian2a, mongolian, bokmal, nyn orsk, romanian, irish, coptic, serbian, turkish, welsh, esperanto, uppersorbian , estonian, indonesian, interlingua, icelandic, kurmanji, slovenian, polish, po rtuguese, spanish, galician, catalan, swedish, ukenglish, pinyin, loaded. (/usr/share/texmf-texlive/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texmf-texlive/tex/latex/base/size12.clo)) (/usr/share/texmf-texlive/tex/latex/base/inputenc.sty (/usr/share/texmf-texlive/tex/latex/ucs/utf8x.def)) (/usr/share/texmf-texlive/tex/latex/ucs/ucs.sty (/usr/share/texmf-texlive/tex/latex/ucs/data/uni-global.def)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsmath.sty For additional information on amsmath, use the `?’ option. (/usr/share/texmf-texlive/tex/latex/amsmath/amstext.sty (/usr/share/texmf-texlive/tex/latex/amsmath/amsgen.sty)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsbsy.sty) (/usr/share/texmf-texlive/tex/latex/amsmath/amsopn.sty)) (/usr/share/texmf-texlive/tex/latex/amscls/amsthm.sty) (/usr/share/texmf-texlive/tex/latex/amsfonts/amssymb.sty (/usr/share/texmf-texlive/tex/latex/amsfonts/amsfonts.sty)) (/usr/share/texmf-texlive/tex/latex/tools/bm.sty) ! LaTeX Error: File `mmfmath.sty’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: sty) Enter file name: ! Emergency stop. <read *> l.12 ^^M No pages of output. Transcript written on math.log.
:

System Message: WARNING/2 (\mat{A} + \diag(\vect{e}) = \mat{L}\mat{L}^{T} = \mat{M}. )

latex exited with error: [stderr] [stdout] This is pdfTeX, Version 3.1415926-1.40.10 (TeX Live 2009/Debian) entering extended mode (./math.tex LaTeX2e <2009/09/24> Babel <v3.8l> and hyphenation patterns for english, usenglishmax, dumylang, noh yphenation, farsi, arabic, croatian, bulgarian, ukrainian, russian, czech, slov ak, danish, dutch, finnish, french, basque, ngerman, german, german-x-2009-06-1 9, ngerman-x-2009-06-19, ibycus, monogreek, greek, ancientgreek, hungarian, san skrit, italian, latin, latvian, lithuanian, mongolian2a, mongolian, bokmal, nyn orsk, romanian, irish, coptic, serbian, turkish, welsh, esperanto, uppersorbian , estonian, indonesian, interlingua, icelandic, kurmanji, slovenian, polish, po rtuguese, spanish, galician, catalan, swedish, ukenglish, pinyin, loaded. (/usr/share/texmf-texlive/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texmf-texlive/tex/latex/base/size12.clo)) (/usr/share/texmf-texlive/tex/latex/base/inputenc.sty (/usr/share/texmf-texlive/tex/latex/ucs/utf8x.def)) (/usr/share/texmf-texlive/tex/latex/ucs/ucs.sty (/usr/share/texmf-texlive/tex/latex/ucs/data/uni-global.def)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsmath.sty For additional information on amsmath, use the `?’ option. (/usr/share/texmf-texlive/tex/latex/amsmath/amstext.sty (/usr/share/texmf-texlive/tex/latex/amsmath/amsgen.sty)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsbsy.sty) (/usr/share/texmf-texlive/tex/latex/amsmath/amsopn.sty)) (/usr/share/texmf-texlive/tex/latex/amscls/amsthm.sty) (/usr/share/texmf-texlive/tex/latex/amsfonts/amssymb.sty (/usr/share/texmf-texlive/tex/latex/amsfonts/amsfonts.sty)) (/usr/share/texmf-texlive/tex/latex/tools/bm.sty) ! LaTeX Error: File `mmfmath.sty’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: sty) Enter file name: ! Emergency stop. <read *> l.12 ^^M No pages of output. Transcript written on math.log.

These algorithms attempt to satisfy the following goals:

  1. System Message: WARNING/2 (\mat{M})

    latex exited with error: [stderr] [stdout] This is pdfTeX, Version 3.1415926-1.40.10 (TeX Live 2009/Debian) entering extended mode (./math.tex LaTeX2e <2009/09/24> Babel <v3.8l> and hyphenation patterns for english, usenglishmax, dumylang, noh yphenation, farsi, arabic, croatian, bulgarian, ukrainian, russian, czech, slov ak, danish, dutch, finnish, french, basque, ngerman, german, german-x-2009-06-1 9, ngerman-x-2009-06-19, ibycus, monogreek, greek, ancientgreek, hungarian, san skrit, italian, latin, latvian, lithuanian, mongolian2a, mongolian, bokmal, nyn orsk, romanian, irish, coptic, serbian, turkish, welsh, esperanto, uppersorbian , estonian, indonesian, interlingua, icelandic, kurmanji, slovenian, polish, po rtuguese, spanish, galician, catalan, swedish, ukenglish, pinyin, loaded. (/usr/share/texmf-texlive/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texmf-texlive/tex/latex/base/size12.clo)) (/usr/share/texmf-texlive/tex/latex/base/inputenc.sty (/usr/share/texmf-texlive/tex/latex/ucs/utf8x.def)) (/usr/share/texmf-texlive/tex/latex/ucs/ucs.sty (/usr/share/texmf-texlive/tex/latex/ucs/data/uni-global.def)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsmath.sty For additional information on amsmath, use the `?’ option. (/usr/share/texmf-texlive/tex/latex/amsmath/amstext.sty (/usr/share/texmf-texlive/tex/latex/amsmath/amsgen.sty)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsbsy.sty) (/usr/share/texmf-texlive/tex/latex/amsmath/amsopn.sty)) (/usr/share/texmf-texlive/tex/latex/amscls/amsthm.sty) (/usr/share/texmf-texlive/tex/latex/amsfonts/amssymb.sty (/usr/share/texmf-texlive/tex/latex/amsfonts/amsfonts.sty)) (/usr/share/texmf-texlive/tex/latex/tools/bm.sty) ! LaTeX Error: File `mmfmath.sty’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: sty) Enter file name: ! Emergency stop. <read *> l.12 ^^M No pages of output. Transcript written on math.log.
    is safely symmetric positive definite (SPD) and well conditioned.

  2. System Message: WARNING/2 (\vect{e})

    latex exited with error: [stderr] [stdout] This is pdfTeX, Version 3.1415926-1.40.10 (TeX Live 2009/Debian) entering extended mode (./math.tex LaTeX2e <2009/09/24> Babel <v3.8l> and hyphenation patterns for english, usenglishmax, dumylang, noh yphenation, farsi, arabic, croatian, bulgarian, ukrainian, russian, czech, slov ak, danish, dutch, finnish, french, basque, ngerman, german, german-x-2009-06-1 9, ngerman-x-2009-06-19, ibycus, monogreek, greek, ancientgreek, hungarian, san skrit, italian, latin, latvian, lithuanian, mongolian2a, mongolian, bokmal, nyn orsk, romanian, irish, coptic, serbian, turkish, welsh, esperanto, uppersorbian , estonian, indonesian, interlingua, icelandic, kurmanji, slovenian, polish, po rtuguese, spanish, galician, catalan, swedish, ukenglish, pinyin, loaded. (/usr/share/texmf-texlive/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texmf-texlive/tex/latex/base/size12.clo)) (/usr/share/texmf-texlive/tex/latex/base/inputenc.sty (/usr/share/texmf-texlive/tex/latex/ucs/utf8x.def)) (/usr/share/texmf-texlive/tex/latex/ucs/ucs.sty (/usr/share/texmf-texlive/tex/latex/ucs/data/uni-global.def)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsmath.sty For additional information on amsmath, use the `?’ option. (/usr/share/texmf-texlive/tex/latex/amsmath/amstext.sty (/usr/share/texmf-texlive/tex/latex/amsmath/amsgen.sty)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsbsy.sty) (/usr/share/texmf-texlive/tex/latex/amsmath/amsopn.sty)) (/usr/share/texmf-texlive/tex/latex/amscls/amsthm.sty) (/usr/share/texmf-texlive/tex/latex/amsfonts/amssymb.sty (/usr/share/texmf-texlive/tex/latex/amsfonts/amsfonts.sty)) (/usr/share/texmf-texlive/tex/latex/tools/bm.sty) ! LaTeX Error: File `mmfmath.sty’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: sty) Enter file name: ! Emergency stop. <read *> l.12 ^^M No pages of output. Transcript written on math.log.
    is as small as possible, meaning that it is zero if

    System Message: WARNING/2 (\mat{A})

    latex exited with error: [stderr] [stdout] This is pdfTeX, Version 3.1415926-1.40.10 (TeX Live 2009/Debian) entering extended mode (./math.tex LaTeX2e <2009/09/24> Babel <v3.8l> and hyphenation patterns for english, usenglishmax, dumylang, noh yphenation, farsi, arabic, croatian, bulgarian, ukrainian, russian, czech, slov ak, danish, dutch, finnish, french, basque, ngerman, german, german-x-2009-06-1 9, ngerman-x-2009-06-19, ibycus, monogreek, greek, ancientgreek, hungarian, san skrit, italian, latin, latvian, lithuanian, mongolian2a, mongolian, bokmal, nyn orsk, romanian, irish, coptic, serbian, turkish, welsh, esperanto, uppersorbian , estonian, indonesian, interlingua, icelandic, kurmanji, slovenian, polish, po rtuguese, spanish, galician, catalan, swedish, ukenglish, pinyin, loaded. (/usr/share/texmf-texlive/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texmf-texlive/tex/latex/base/size12.clo)) (/usr/share/texmf-texlive/tex/latex/base/inputenc.sty (/usr/share/texmf-texlive/tex/latex/ucs/utf8x.def)) (/usr/share/texmf-texlive/tex/latex/ucs/ucs.sty (/usr/share/texmf-texlive/tex/latex/ucs/data/uni-global.def)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsmath.sty For additional information on amsmath, use the `?’ option. (/usr/share/texmf-texlive/tex/latex/amsmath/amstext.sty (/usr/share/texmf-texlive/tex/latex/amsmath/amsgen.sty)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsbsy.sty) (/usr/share/texmf-texlive/tex/latex/amsmath/amsopn.sty)) (/usr/share/texmf-texlive/tex/latex/amscls/amsthm.sty) (/usr/share/texmf-texlive/tex/latex/amsfonts/amssymb.sty (/usr/share/texmf-texlive/tex/latex/amsfonts/amsfonts.sty)) (/usr/share/texmf-texlive/tex/latex/tools/bm.sty) ! LaTeX Error: File `mmfmath.sty’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: sty) Enter file name: ! Emergency stop. <read *> l.12 ^^M No pages of output. Transcript written on math.log.
    is already SPD and not much larger than the most negative eigenvalue

    System Message: WARNING/2 (\lambda_{0})

    latex exited with error: [stderr] [stdout] This is pdfTeX, Version 3.1415926-1.40.10 (TeX Live 2009/Debian) entering extended mode (./math.tex LaTeX2e <2009/09/24> Babel <v3.8l> and hyphenation patterns for english, usenglishmax, dumylang, noh yphenation, farsi, arabic, croatian, bulgarian, ukrainian, russian, czech, slov ak, danish, dutch, finnish, french, basque, ngerman, german, german-x-2009-06-1 9, ngerman-x-2009-06-19, ibycus, monogreek, greek, ancientgreek, hungarian, san skrit, italian, latin, latvian, lithuanian, mongolian2a, mongolian, bokmal, nyn orsk, romanian, irish, coptic, serbian, turkish, welsh, esperanto, uppersorbian , estonian, indonesian, interlingua, icelandic, kurmanji, slovenian, polish, po rtuguese, spanish, galician, catalan, swedish, ukenglish, pinyin, loaded. (/usr/share/texmf-texlive/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texmf-texlive/tex/latex/base/size12.clo)) (/usr/share/texmf-texlive/tex/latex/base/inputenc.sty (/usr/share/texmf-texlive/tex/latex/ucs/utf8x.def)) (/usr/share/texmf-texlive/tex/latex/ucs/ucs.sty (/usr/share/texmf-texlive/tex/latex/ucs/data/uni-global.def)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsmath.sty For additional information on amsmath, use the `?’ option. (/usr/share/texmf-texlive/tex/latex/amsmath/amstext.sty (/usr/share/texmf-texlive/tex/latex/amsmath/amsgen.sty)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsbsy.sty) (/usr/share/texmf-texlive/tex/latex/amsmath/amsopn.sty)) (/usr/share/texmf-texlive/tex/latex/amscls/amsthm.sty) (/usr/share/texmf-texlive/tex/latex/amsfonts/amssymb.sty (/usr/share/texmf-texlive/tex/latex/amsfonts/amsfonts.sty)) (/usr/share/texmf-texlive/tex/latex/tools/bm.sty) ! LaTeX Error: File `mmfmath.sty’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: sty) Enter file name: ! Emergency stop. <read *> l.12 ^^M No pages of output. Transcript written on math.log.
    of

    System Message: WARNING/2 (\mat{A})

    latex exited with error: [stderr] [stdout] This is pdfTeX, Version 3.1415926-1.40.10 (TeX Live 2009/Debian) entering extended mode (./math.tex LaTeX2e <2009/09/24> Babel <v3.8l> and hyphenation patterns for english, usenglishmax, dumylang, noh yphenation, farsi, arabic, croatian, bulgarian, ukrainian, russian, czech, slov ak, danish, dutch, finnish, french, basque, ngerman, german, german-x-2009-06-1 9, ngerman-x-2009-06-19, ibycus, monogreek, greek, ancientgreek, hungarian, san skrit, italian, latin, latvian, lithuanian, mongolian2a, mongolian, bokmal, nyn orsk, romanian, irish, coptic, serbian, turkish, welsh, esperanto, uppersorbian , estonian, indonesian, interlingua, icelandic, kurmanji, slovenian, polish, po rtuguese, spanish, galician, catalan, swedish, ukenglish, pinyin, loaded. (/usr/share/texmf-texlive/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texmf-texlive/tex/latex/base/size12.clo)) (/usr/share/texmf-texlive/tex/latex/base/inputenc.sty (/usr/share/texmf-texlive/tex/latex/ucs/utf8x.def)) (/usr/share/texmf-texlive/tex/latex/ucs/ucs.sty (/usr/share/texmf-texlive/tex/latex/ucs/data/uni-global.def)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsmath.sty For additional information on amsmath, use the `?’ option. (/usr/share/texmf-texlive/tex/latex/amsmath/amstext.sty (/usr/share/texmf-texlive/tex/latex/amsmath/amsgen.sty)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsbsy.sty) (/usr/share/texmf-texlive/tex/latex/amsmath/amsopn.sty)) (/usr/share/texmf-texlive/tex/latex/amscls/amsthm.sty) (/usr/share/texmf-texlive/tex/latex/amsfonts/amssymb.sty (/usr/share/texmf-texlive/tex/latex/amsfonts/amsfonts.sty)) (/usr/share/texmf-texlive/tex/latex/tools/bm.sty) ! LaTeX Error: File `mmfmath.sty’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: sty) Enter file name: ! Emergency stop. <read *> l.12 ^^M No pages of output. Transcript written on math.log.
    . The figure of merit in this sense is usually

    System Message: WARNING/2 (-\norm{\vect{e}}_{\infty}/\lambda_{0})

    latex exited with error: [stderr] [stdout] This is pdfTeX, Version 3.1415926-1.40.10 (TeX Live 2009/Debian) entering extended mode (./math.tex LaTeX2e <2009/09/24> Babel <v3.8l> and hyphenation patterns for english, usenglishmax, dumylang, noh yphenation, farsi, arabic, croatian, bulgarian, ukrainian, russian, czech, slov ak, danish, dutch, finnish, french, basque, ngerman, german, german-x-2009-06-1 9, ngerman-x-2009-06-19, ibycus, monogreek, greek, ancientgreek, hungarian, san skrit, italian, latin, latvian, lithuanian, mongolian2a, mongolian, bokmal, nyn orsk, romanian, irish, coptic, serbian, turkish, welsh, esperanto, uppersorbian , estonian, indonesian, interlingua, icelandic, kurmanji, slovenian, polish, po rtuguese, spanish, galician, catalan, swedish, ukenglish, pinyin, loaded. (/usr/share/texmf-texlive/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texmf-texlive/tex/latex/base/size12.clo)) (/usr/share/texmf-texlive/tex/latex/base/inputenc.sty (/usr/share/texmf-texlive/tex/latex/ucs/utf8x.def)) (/usr/share/texmf-texlive/tex/latex/ucs/ucs.sty (/usr/share/texmf-texlive/tex/latex/ucs/data/uni-global.def)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsmath.sty For additional information on amsmath, use the `?’ option. (/usr/share/texmf-texlive/tex/latex/amsmath/amstext.sty (/usr/share/texmf-texlive/tex/latex/amsmath/amsgen.sty)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsbsy.sty) (/usr/share/texmf-texlive/tex/latex/amsmath/amsopn.sty)) (/usr/share/texmf-texlive/tex/latex/amscls/amsthm.sty) (/usr/share/texmf-texlive/tex/latex/amsfonts/amssymb.sty (/usr/share/texmf-texlive/tex/latex/amsfonts/amsfonts.sty)) (/usr/share/texmf-texlive/tex/latex/tools/bm.sty) ! LaTeX Error: File `mmfmath.sty’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: sty) Enter file name: ! Emergency stop. <read *> l.12 ^^M No pages of output. Transcript written on math.log.
    .
  3. Efficient computational efficiency.

The original algorithms

[GM74]Philip E. Gill and Walter Murray, “Newton-type methods for unconstrained and linearly constrained optimization”, Mathematical Programming 7(1), 311 – 350 (1974).
[GMW81]P. E. Gill, W. Murray, and M. H. Wright, “Practical Optimization”, Academic Press, London, (1981).
[SE90]Robert B. Schnabel and Elizabeth Eskow, “A New Modified Cholesky Factorization”, SIAM Journal on Scientific and Statistical Computing 11(6), 1136-1158 (1990).
[SE99]Robert B. Schnabel and Elizabeth Eskow, `”A Revised Modified Cholesky Factorization Algorithm” <>`_, SIAM Journal on Optimization 9(4), 1135 – 1148 (1999).

Codes

GMW81:

proc gmchol(A);
   /* calculates the Gill-Murray generalized choleski decomposition */
   /* input matrix A must be non-singular and symmetric */
   /* Author: Jeff Gill. Part of the Hessian Project. */
   local i,j,k,n,sum,R,theta_j,norm_A,phi_j,delta,xi_j,gamm,E,beta_j;
   n = rows(A);
   R = eye(n);
   E = zeros(n,n);
   norm_A = maxc(sumc(abs(A)));
   gamm = maxc(abs(diag(A))); 
   delta = maxc(maxc(__macheps*norm_A~__macheps));
   for j (1, n, 1); 
      theta_j = 0;
      for i (1, n, 1);
         sum = 0;
         for k (1, (i-1), 1);       
            sum = sum + R[k,i]*R[k,j];
         endfor;
         R[i,j] = (A[i,j] - sum)/R[i,i];
         if (A[i,j] -sum) > theta_j;
            theta_j = A[i,j] - sum;
         endif;
         if i > j;
            R[i,j] = 0;
         endif;
      endfor;
      sum = 0;
      for k (1, (j-1), 1);  
         sum = sum + R[k,j]^2;
      endfor;
      phi_j = A[j,j] - sum;
      if (j+1) <= n;
         xi_j = maxc(abs(A[(j+1):n,j]));
      else;
         xi_j = maxc(abs(A[n,j]));
      endif;
      beta_j = sqrt(maxc(maxc(gamm~(xi_j/n)~__macheps)));
      if delta >= maxc(abs(phi_j)~((theta_j^2)/(beta_j^2)));
         E[j,j] = delta - phi_j;
      elseif abs(phi_j) >= maxc(((delta^2)/(beta_j^2))~delta);
         E[j,j] = abs(phi_j) - phi_j;
      elseif ((theta_j^2)/(beta_j^2)) >= maxc(delta~abs(phi_j));
         E[j,j] = ((theta_j^2)/(beta_j^2)) - phi_j;
      endif;
      R[j,j] = sqrt(A[j,j] - sum + E[j,j]);
   endfor;
   retp(R'R);
endp;
mmf.math.linalg.cholesky.cholesky_.se99(A)[source]

Return (L, e): the Schnabel-Eskow generalized Cholesky decomposition of M = A + diag(e) = dot(L, L.T) where

  1. M is safely symmetric positive definite (SPD) and well conditioned.
  2. e is small (zero if A is already SPD and not much larger than the most negative eigenvalue of A)

System Message: WARNING/2 (\mat{A} + \diag{e} = \mat{L}\mat{L}^{T} )

latex exited with error: [stderr] [stdout] This is pdfTeX, Version 3.1415926-1.40.10 (TeX Live 2009/Debian) entering extended mode (./math.tex LaTeX2e <2009/09/24> Babel <v3.8l> and hyphenation patterns for english, usenglishmax, dumylang, noh yphenation, farsi, arabic, croatian, bulgarian, ukrainian, russian, czech, slov ak, danish, dutch, finnish, french, basque, ngerman, german, german-x-2009-06-1 9, ngerman-x-2009-06-19, ibycus, monogreek, greek, ancientgreek, hungarian, san skrit, italian, latin, latvian, lithuanian, mongolian2a, mongolian, bokmal, nyn orsk, romanian, irish, coptic, serbian, turkish, welsh, esperanto, uppersorbian , estonian, indonesian, interlingua, icelandic, kurmanji, slovenian, polish, po rtuguese, spanish, galician, catalan, swedish, ukenglish, pinyin, loaded. (/usr/share/texmf-texlive/tex/latex/base/article.cls Document Class: article 2007/10/19 v1.4h Standard LaTeX document class (/usr/share/texmf-texlive/tex/latex/base/size12.clo)) (/usr/share/texmf-texlive/tex/latex/base/inputenc.sty (/usr/share/texmf-texlive/tex/latex/ucs/utf8x.def)) (/usr/share/texmf-texlive/tex/latex/ucs/ucs.sty (/usr/share/texmf-texlive/tex/latex/ucs/data/uni-global.def)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsmath.sty For additional information on amsmath, use the `?’ option. (/usr/share/texmf-texlive/tex/latex/amsmath/amstext.sty (/usr/share/texmf-texlive/tex/latex/amsmath/amsgen.sty)) (/usr/share/texmf-texlive/tex/latex/amsmath/amsbsy.sty) (/usr/share/texmf-texlive/tex/latex/amsmath/amsopn.sty)) (/usr/share/texmf-texlive/tex/latex/amscls/amsthm.sty) (/usr/share/texmf-texlive/tex/latex/amsfonts/amssymb.sty (/usr/share/texmf-texlive/tex/latex/amsfonts/amsfonts.sty)) (/usr/share/texmf-texlive/tex/latex/tools/bm.sty) ! LaTeX Error: File `mmfmath.sty’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: sty) Enter file name: ! Emergency stop. <read *> l.12 ^^M No pages of output. Transcript written on math.log.
Parameters :

A : array

Must be a non-singular and symmetric matrix

test : bool

If True, use the directly translated iterative code for testing.
Returns :

L : 2d array

Lower triangular Cholesky factor.

e : 1d array

Diagonals of correction matrix E.

Examples

>>> np.random.seed(3)
>>> A = np.random.rand(100,100)*2 - 1
>>> A = A + A.T
>>> L, e = sechol(A)
>>> np.allclose(np.dot(L,L.T), (A + np.diag(e)))
True
>>> np.linalg.eigvalsh(A).min()
()

>>> A2 =  np.array([[-0.451, -0.041, 0.124],
...                 [-0.041, -0.265, 0.061],
...                 [ 0.124, 0.061, -0.517]])
>>> L, e = sechol(A2, test=True)
>>> e.max()/np.linalg.eigvalsh(A).min()

This is based on the code in

Project Versions

Table Of Contents

Previous topic

mmf.math.linalg.cholesky

Next topic

mmf.math.linalg.cholesky.gmw81

This Page

Navigation

© Copyright 2010, Michael McNeil Forbes. Last updated on 02 May 2013. Created using Sphinx 1.1.3+.
Brought to you by Read the Docs