ndarray-cholesky-factorization

A module for calculating the in-place Cholesky decomposition of symmetric, positive-definite matrix.

Installation

npm install ndarray-cholesky-factorization

Usage

var cholesky = require('ndarray-cholesky-factorization');

cholesky(A, L)

Calculates the Cholesky factorization for a symmetric, positive-definite matrix A, which has to be an ndarray. The decomposition splits the matrix into the product of a lower triangular matrix and its transpose, i.e. A = LL^t. The result is stored in-place in L, and the function returns true upon successful completion.

Example

var cholesky = require('ndarray-cholesky-factorization'),
    pool = require('ndarray-scratch');
 
var A = ndarray(new Float64Array([4,12,-16,12,37,-43,-16,-43,98]), [3, 3]);
var L = pool.zeros( A.shape, A.dtype );
 
cholesky(A, L)

Unit Tests

Run tests via the command npm test

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License

MIT license.