NAME

cholesky_decomposition - Performs Cholesky decomposition on a matrix, using a method hand-coded for

SYNOPSIS

#include "n/n_cholesky.h"

Example compile flags (system dependent):
  -DLINUX_X86_64 -DLINUX_X86_64_OPTERON  -DGNU_COMPILER 
   -I/home/kobus/include
   -L/home/kobus/misc/load/linux_x86_64_opteron -L/usr/lib/x86_64-linux-gnu
  -lKJB                               -lfftw3  -lgsl -lgslcblas -ljpeg  -lSVM -lstdc++                    -lpthread -lSLATEC -lg2c    -lacml -lacml_mv -lblas -lg2c      -lncursesw 


int cholesky_decomposition
(
	Matrix **target_mpp,
	const Matrix *input_mp
);

DESCRIPTION

the KJB library. This routine finds matrix L such that LL' = A. A must be positive definite. The first argument is the adress of the target matrix. If the target matrix itself is null, then a matrix of the appropriate size is created. If the target matrix is the wrong size, it is resized. Finally, if it is the right size, then the storage is recycled, as is. If input and output matrices point to the same address, a temporary matrix will be allocated as a workspace, which will swapped with A before returning. Passing NULL as the source matrix will free L, set it to NULL and return NO_ERROR. The operation may be performed in one of several ways. The method used can be set using the option "cholesky-method" which is normally exposed to the user. If this options is "native" (the default), then we compute the Cholesky decomposition using a native KJB implementation. If this option is "lapack," Cholesky decomposition is perfomed by Lapack's DBOTRF subroutine. The lapack version is slightly more forgiving on ill-conditioned matrices.

RETURNS

Returns ERROR on failure, setting the the errors string accordingly, and NO_ERROR otherwise.

DISCLAIMER

This software is not adequatedly tested. It is recomended that results are checked independantly where appropriate.

AUTHOR

Ernesto Brau

DOCUMENTER