koblas

cholesky

fun MatrixLike.cholesky(policy: CholeskyPolicy = CholeskyPolicy.Strict): DenseMatrix(source)

Lower-triangular Cholesky decomposition A = L * LT, returned as a fresh matrix, from the installed backend; see Lapack.cholesky.

Throws at the first non-positive pivot unless policy says otherwise; see CholeskyPolicy. The old default regularized silently, which returned a factor of a matrix that was not the one passed in.

Historic note: what used to be cholesky(regularizeNonPD = true) is now entry instead of a crash. Pass false for strict validation: the call then throws IllegalArgumentException at the first non-PD pivot.

invert

fun invert(lu: LuDecomposition, workspace: Workspace? = null): DenseMatrix(source)

A⁻¹ from an LU factorization (LAPACK dgetri); see LinearAlgebra.invert.

invertSpd

fun invertSpd(L: DenseMatrix, workspace: Workspace? = null): DenseMatrix(source)

Invert an SPD matrix from its Cholesky factor; see Lapack.invertSpd.

solveSpd

Solve A * x = b given L = chol(A); see Lapack.solveSpd.