template<class F>
class ROOT::Math::CholeskyDecompGenDim< F >

class to compute the Cholesky decomposition of a matrix

class to compute the Cholesky decomposition of a symmetric positive definite matrix when the dimensionality of the problem is not known at compile time

provides routines to check if the decomposition succeeded (i.e. if matrix is positive definite and non-singular), to solve a linear system for the given matrix and to obtain its inverse

the actual functionality is implemented in templated helper classes which have specializations for dimensions N = 1 to 6 to achieve a gain in speed for common matrix sizes

usage example:

// let m be a symmetric positive definite SMatrix (use type float
// for internal computations, matrix size is 4x4)
CholeskyDecompGenDim<float> decomp(4, m);
// check if the decomposition succeeded
if (!decomp) {
  std::cerr << "decomposition failed!" << std::endl;
} else {
  // let rhs be a vector; we seek a vector x such that m * x = rhs
  decomp.Solve(rhs);
  // rhs now contains the solution we are looking for
  // obtain the inverse of m, put it into m itself
  decomp.Invert(m);
}

Definition at line 308 of file CholeskyDecomp.h.

Public Member Functions
template<class M >
	CholeskyDecompGenDim (unsigned N, const M &m)
	perform a Cholesky decomposition More...

template<typename G >
	CholeskyDecompGenDim (unsigned N, G *m)
	perform a Cholesky decomposition More...

	~CholeskyDecompGenDim ()
	destructor More...

bool	ok () const
	returns true if decomposition was successful More...

	operator bool () const
	returns true if decomposition was successful More...

template<class V >
bool	Solve (V &rhs) const
	solves a linear system for the given right hand side More...

template<class M >
bool	Invert (M &m) const
	place the inverse into m More...

template<typename G >
bool	Invert (G *m) const
	place the inverse into m More...

template<class M >
bool	getL (M &m) const
	obtain the decomposed matrix L More...

template<typename G >
bool	getL (G *m) const
	obtain the decomposed matrix L More...

template<class M >
bool	getLi (M &m) const
	obtain the inverse of the decomposed matrix L More...

template<typename G >
bool	getLi (G *m) const
	obtain the inverse of the decomposed matrix L More...

Private Attributes
unsigned	fN
	dimensionality dimensionality of the problem More...

F *	fL
	lower triangular matrix L More...

bool	fOk
	flag indicating a successful decomposition More...

#include <Math/CholeskyDecomp.h>

Constructor & Destructor Documentation

template<class F >

template<class M >

ROOT::Math::CholeskyDecompGenDim< F >::CholeskyDecompGenDim	(	unsigned	N,
		const M &	m
	)

inline

perform a Cholesky decomposition

perfrom a Cholesky decomposition of a symmetric positive definite matrix m

this is the constructor to uses with an SMatrix (and objects that behave like an SMatrix in terms of using operator()(int i, int j) for access to elements)

Definition at line 329 of file CholeskyDecomp.h.

template<class F >

template<typename G >

ROOT::Math::CholeskyDecompGenDim< F >::CholeskyDecompGenDim	(	unsigned	N,
		G *	m
	)

inline

perform a Cholesky decomposition

perfrom a Cholesky decomposition of a symmetric positive definite matrix m

this is the constructor to use in special applications where plain arrays are used

NOTE: the matrix is given in packed representation, matrix element m(i,j) (j <= i) is supposed to be in array element (i * (i + 1)) / 2 + j

Definition at line 347 of file CholeskyDecomp.h.

template<class F >

ROOT::Math::CholeskyDecompGenDim< F >::~CholeskyDecompGenDim ( )

inline

destructor

Definition at line 357 of file CholeskyDecomp.h.

Member Function Documentation

template<class F >

template<class M >

bool ROOT::Math::CholeskyDecompGenDim< F >::getL ( M & m ) const

inline

obtain the decomposed matrix L

This is the method to use with a plain array.

Returns: if the decomposition was successful

Definition at line 419 of file CholeskyDecomp.h.

template<class F >

template<typename G >

bool ROOT::Math::CholeskyDecompGenDim< F >::getL ( G * m ) const

inline

obtain the decomposed matrix L

Returns: if the decomposition was successful

NOTE: the matrix is given in packed representation, matrix element m(i,j) (j <= i) is supposed to be in array element (i * (i + 1)) / 2 + j

Definition at line 444 of file CholeskyDecomp.h.

template<class F >

template<class M >

bool ROOT::Math::CholeskyDecompGenDim< F >::getLi ( M & m ) const

inline

obtain the inverse of the decomposed matrix L

This is the method to use with a plain array.

Returns: if the decomposition was successful

Definition at line 463 of file CholeskyDecomp.h.

template<class F >

template<typename G >

bool ROOT::Math::CholeskyDecompGenDim< F >::getLi ( G * m ) const

inline

obtain the inverse of the decomposed matrix L

Returns: if the decomposition was successful

NOTE: the matrix is given in packed representation, matrix element m(j,i) (j <= i) is supposed to be in array element (i * (i + 1)) / 2 + j

Definition at line 494 of file CholeskyDecomp.h.

template<class F >

template<class M >

bool ROOT::Math::CholeskyDecompGenDim< F >::Invert ( M & m ) const

inline

place the inverse into m

This is the method to use with an SMatrix.

Returns: if the decomposition was successful

Definition at line 386 of file CholeskyDecomp.h.

template<class F >

template<typename G >

bool ROOT::Math::CholeskyDecompGenDim< F >::Invert ( G * m ) const

inline

place the inverse into m

This is the method to use with a plain array.

Returns: if the decomposition was successful

NOTE: the matrix is given in packed representation, matrix element m(i,j) (j <= i) is supposed to be in array element (i * (i + 1)) / 2 + j

Definition at line 402 of file CholeskyDecomp.h.

template<class F >

bool ROOT::Math::CholeskyDecompGenDim< F >::ok ( ) const

inline

returns true if decomposition was successful

Returns: true if decomposition was successful

Definition at line 361 of file CholeskyDecomp.h.

template<class F >

ROOT::Math::CholeskyDecompGenDim< F >::operator bool ( ) const

inline

returns true if decomposition was successful

Returns: true if decomposition was successful

Definition at line 364 of file CholeskyDecomp.h.

template<class F >

template<class V >

bool ROOT::Math::CholeskyDecompGenDim< F >::Solve ( V & rhs ) const

inline

solves a linear system for the given right hand side

Note that you can use both SVector classes and plain arrays for rhs. (Make sure that the sizes match!). It will work with any vector implementing the operator [i]