24 lines
526 B
Matlab
24 lines
526 B
Matlab
function A = Alg10(A)
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% Algorithm 10: Cholesky (Banachiewicz) factorization.
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% Matrix A has to be symmetric and positive-definite:
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% all d(i, i) > 0 for A = LDL^T.
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% We are using Outer product Version (Golub, Load, Alg. 4.2.2), which
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% computes lower triangular G, such that A = G*G^T
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[m, n] = size(A);
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if m ~= n
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error('Matrix is not square!')
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end
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for k = 1:m
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A(k,k) = sqrt(A(k,k));
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A(k+1:n, k) = A(k+1:n, k)/A(k,k);
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for j = k+1:n
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A(j:n, j) = A(j:n, j) - A(j:n, k)*A(j, k);
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end
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end
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A = tril(A);
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end |