org.apache.commons.math3.linear

## Class RectangularCholeskyDecomposition

• java.lang.Object
• org.apache.commons.math3.linear.RectangularCholeskyDecomposition

• public class RectangularCholeskyDecomposition
extends Object
Calculates the rectangular Cholesky decomposition of a matrix.

The rectangular Cholesky decomposition of a real symmetric positive semidefinite matrix A consists of a rectangular matrix B with the same number of rows such that: A is almost equal to BBT, depending on a user-defined tolerance. In a sense, this is the square root of A.

The difference with respect to the regular CholeskyDecomposition is that rows/columns may be permuted (hence the rectangular shape instead of the traditional triangular shape) and there is a threshold to ignore small diagonal elements. This is used for example to generate correlated random n-dimensions vectors in a p-dimension subspace (p < n). In other words, it allows generating random vectors from a covariance matrix that is only positive semidefinite, and not positive definite.

Rectangular Cholesky decomposition is not suited for solving linear systems, so it does not provide any decomposition solver.

Since:
2.0 (changed to concrete class in 3.0)
Version:
$Id: RectangularCholeskyDecomposition.java 1422313 2012-12-15 18:53:41Z psteitz$
MathWorld, Wikipedia
• ### Constructor Summary

Constructors
Constructor and Description
RectangularCholeskyDecomposition(RealMatrix matrix)
Decompose a symmetric positive semidefinite matrix.
RectangularCholeskyDecomposition(RealMatrix matrix, double small)
Decompose a symmetric positive semidefinite matrix.
• ### Method Summary

Methods
Modifier and Type Method and Description
int getRank()
Get the rank of the symmetric positive semidefinite matrix.
RealMatrix getRootMatrix()
Get the root of the covariance matrix.
• ### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• ### Constructor Detail

• #### RectangularCholeskyDecomposition

public RectangularCholeskyDecomposition(RealMatrix matrix)
throws NonPositiveDefiniteMatrixException
Decompose a symmetric positive semidefinite matrix.

Note: this constructor follows the linpack method to detect dependent columns by proceeding with the Cholesky algorithm until a nonpositive diagonal element is encountered.

Parameters:
matrix - Symmetric positive semidefinite matrix.
Throws:
NonPositiveDefiniteMatrixException - if the matrix is not positive semidefinite.
Since:
3.1
Analysis of the Cholesky Decomposition of a Semi-definite Matrix
• #### RectangularCholeskyDecomposition

public RectangularCholeskyDecomposition(RealMatrix matrix,
double small)
throws NonPositiveDefiniteMatrixException
Decompose a symmetric positive semidefinite matrix.
Parameters:
matrix - Symmetric positive semidefinite matrix.
small - Diagonal elements threshold under which columns are considered to be dependent on previous ones and are discarded.
Throws:
NonPositiveDefiniteMatrixException - if the matrix is not positive semidefinite.
• ### Method Detail

• #### getRootMatrix

public RealMatrix getRootMatrix()
Get the root of the covariance matrix. The root is the rectangular matrix B such that the covariance matrix is equal to B.BT
Returns:
root of the square matrix
getRank()
public int getRank()
getRootMatrix()