Cholesky decomposition

버전 1.0.0 (4.16 KB) 작성자: Jan Motl
In place matrix factorization
다운로드 수: 513
업데이트 날짜: 2019/4/22

라이선스 보기

This is an implementation of Cholesky decomposition based on [1]. The algorithm exploits matrix multiplication and is consequently faster than the canonical implementations of Cholesky decomposition via Cholesky-Banachiewicz/Cholesky-Crout decompositions, which use only matrix-vector multiplication (and not matrix-matrix multiplication). Interestingly enough, the algorithm can be seen as a hybrid between Cholesky-Banachiewicz and Cholesky-Crout algorithms. The algorithm takes a parameter, which says how large should be the matrix for matrix multiplication. If no parameter is passed, an optimal size for matrix multiplication is estimated.

The package contains following algorithms:
1) Cholesky-Banachiewicz
2) Cholesky-Crout
3) Hybrid

A practical note: Neither of the implementations is faster than the build in 'chol' function. The provided methods are merely for educative purposes.

[1] Simple, Fast and Practicable Algorithms for Cholesky, LU and QR Decomposition Using Fast Rectangular Matrix Multiplication by Cristóbal Camarero

인용 양식

Jan Motl (2024). Cholesky decomposition (https://www.mathworks.com/matlabcentral/fileexchange/71304-cholesky-decomposition), MATLAB Central File Exchange. 검색됨 .

MATLAB 릴리스 호환 정보
개발 환경: R2015a
모든 릴리스와 호환
플랫폼 호환성
Windows macOS Linux
카테고리
Help CenterMATLAB Answers에서 Matrix Decomposition에 대해 자세히 알아보기

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
버전 게시됨 릴리스 정보
1.0.0