com.opengamma.strata.math.impl.linearalgebra

Class CholeskyDecompositionOpenGamma

java.lang.Object

com.opengamma.strata.math.impl.linearalgebra.CholeskyDecompositionOpenGamma

All Implemented Interfaces:

Decomposition<CholeskyDecompositionResult>, Function<DoubleMatrix,CholeskyDecompositionResult>

public class CholeskyDecompositionOpenGamma
extends Object
implements Decomposition<CholeskyDecompositionResult>

OpenGamma implementation of the Cholesky decomposition and its differentiation.

Field Summary

Fields

Modifier and Type	Field and Description
static double	DEFAULT_POSITIVITY_THRESHOLD In the decomposition, the positivity of the matrix is checked.
static double	DEFAULT_SYMMETRY_THRESHOLD The input matrix symmetry is checked.

Constructor Summary

Constructors

Constructor and Description
CholeskyDecompositionOpenGamma()

Method Summary

Modifier and Type	Method and Description
CholeskyDecompositionResult	apply(DoubleMatrix x) Applies this function to the given argument.
CholeskyDecompositionResult	evaluate(DoubleMatrix matrix, double symmetryThreshold, double positivityThreshold) Perform the decomposition with a given symmetry and positivity threshold.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface java.util.function.Function

andThen, compose, identity

Field Detail

DEFAULT_SYMMETRY_THRESHOLD

public static final double DEFAULT_SYMMETRY_THRESHOLD

The input matrix symmetry is checked. If the relative difference abs(Aij-Aji) > max(abs(Aij), abs(Aji)) * e_sym, the matrix is considered non-symmetric. The default value for the threshold e_sym.

See Also:

Constant Field Values

DEFAULT_POSITIVITY_THRESHOLD

public static final double DEFAULT_POSITIVITY_THRESHOLD

In the decomposition, the positivity of the matrix is checked. If the absolute value Lii < e_pos the matrix is considered non-positive. The default value for the threshold e_pos.

See Also:

Constant Field Values

Constructor Detail

CholeskyDecompositionOpenGamma

public CholeskyDecompositionOpenGamma()

Method Detail

apply

public CholeskyDecompositionResult apply(DoubleMatrix x)

Applies this function to the given argument.

Specified by:

apply in interface Decomposition<CholeskyDecompositionResult>

Specified by:

apply in interface Function<DoubleMatrix,CholeskyDecompositionResult>

Parameters:

x - the input matrix

Returns:

the resulting decomposition

evaluate

public CholeskyDecompositionResult evaluate(DoubleMatrix matrix,
                                            double symmetryThreshold,
                                            double positivityThreshold)

Perform the decomposition with a given symmetry and positivity threshold.

Parameters:

matrix - The matrix to decompose.

symmetryThreshold - The symmetry threshold.

positivityThreshold - The positivity threshold.

Returns:

The Cholesky decomposition.