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		| @ -1,149 +0,0 @@ | ||||
| <?php | ||||
| /** | ||||
|  *	@package JAMA | ||||
|  * | ||||
|  *	Cholesky decomposition class | ||||
|  * | ||||
|  *	For a symmetric, positive definite matrix A, the Cholesky decomposition | ||||
|  *	is an lower triangular matrix L so that A = L*L'. | ||||
|  * | ||||
|  *	If the matrix is not symmetric or positive definite, the constructor | ||||
|  *	returns a partial decomposition and sets an internal flag that may | ||||
|  *	be queried by the isSPD() method. | ||||
|  * | ||||
|  *	@author Paul Meagher | ||||
|  *	@author Michael Bommarito | ||||
|  *	@version 1.2 | ||||
|  */ | ||||
| class CholeskyDecomposition { | ||||
|  | ||||
| 	/** | ||||
| 	 *	Decomposition storage | ||||
| 	 *	@var array | ||||
| 	 *	@access private | ||||
| 	 */ | ||||
| 	private $L = array(); | ||||
|  | ||||
| 	/** | ||||
| 	 *	Matrix row and column dimension | ||||
| 	 *	@var int | ||||
| 	 *	@access private | ||||
| 	 */ | ||||
| 	private $m; | ||||
|  | ||||
| 	/** | ||||
| 	 *	Symmetric positive definite flag | ||||
| 	 *	@var boolean | ||||
| 	 *	@access private | ||||
| 	 */ | ||||
| 	private $isspd = true; | ||||
|  | ||||
|  | ||||
| 	/** | ||||
| 	 *	CholeskyDecomposition | ||||
| 	 * | ||||
| 	 *	Class constructor - decomposes symmetric positive definite matrix | ||||
| 	 *	@param mixed Matrix square symmetric positive definite matrix | ||||
| 	 */ | ||||
| 	public function __construct($A = null) { | ||||
| 		if ($A instanceof Matrix) { | ||||
| 			$this->L = $A->getArray(); | ||||
| 			$this->m = $A->getRowDimension(); | ||||
|  | ||||
| 			for($i = 0; $i < $this->m; ++$i) { | ||||
| 				for($j = $i; $j < $this->m; ++$j) { | ||||
| 					for($sum = $this->L[$i][$j], $k = $i - 1; $k >= 0; --$k) { | ||||
| 						$sum -= $this->L[$i][$k] * $this->L[$j][$k]; | ||||
| 					} | ||||
| 					if ($i == $j) { | ||||
| 						if ($sum >= 0) { | ||||
| 							$this->L[$i][$i] = sqrt($sum); | ||||
| 						} else { | ||||
| 							$this->isspd = false; | ||||
| 						} | ||||
| 					} else { | ||||
| 						if ($this->L[$i][$i] != 0) { | ||||
| 							$this->L[$j][$i] = $sum / $this->L[$i][$i]; | ||||
| 						} | ||||
| 					} | ||||
| 				} | ||||
|  | ||||
| 				for ($k = $i+1; $k < $this->m; ++$k) { | ||||
| 					$this->L[$i][$k] = 0.0; | ||||
| 				} | ||||
| 			} | ||||
| 		} else { | ||||
| 			throw new Exception(JAMAError(ArgumentTypeException)); | ||||
| 		} | ||||
| 	}	//	function __construct() | ||||
|  | ||||
|  | ||||
| 	/** | ||||
| 	 *	Is the matrix symmetric and positive definite? | ||||
| 	 * | ||||
| 	 *	@return boolean | ||||
| 	 */ | ||||
| 	public function isSPD() { | ||||
| 		return $this->isspd; | ||||
| 	}	//	function isSPD() | ||||
|  | ||||
|  | ||||
| 	/** | ||||
| 	 *	getL | ||||
| 	 * | ||||
| 	 *	Return triangular factor. | ||||
| 	 *	@return Matrix Lower triangular matrix | ||||
| 	 */ | ||||
| 	public function getL() { | ||||
| 		return new Matrix($this->L); | ||||
| 	}	//	function getL() | ||||
|  | ||||
|  | ||||
| 	/** | ||||
| 	 *	Solve A*X = B | ||||
| 	 * | ||||
| 	 *	@param $B Row-equal matrix | ||||
| 	 *	@return Matrix L * L' * X = B | ||||
| 	 */ | ||||
| 	public function solve($B = null) { | ||||
| 		if ($B instanceof Matrix) { | ||||
| 			if ($B->getRowDimension() == $this->m) { | ||||
| 				if ($this->isspd) { | ||||
| 					$X  = $B->getArrayCopy(); | ||||
| 					$nx = $B->getColumnDimension(); | ||||
|  | ||||
| 					for ($k = 0; $k < $this->m; ++$k) { | ||||
| 						for ($i = $k + 1; $i < $this->m; ++$i) { | ||||
| 							for ($j = 0; $j < $nx; ++$j) { | ||||
| 								$X[$i][$j] -= $X[$k][$j] * $this->L[$i][$k]; | ||||
| 							} | ||||
| 						} | ||||
| 						for ($j = 0; $j < $nx; ++$j) { | ||||
| 							$X[$k][$j] /= $this->L[$k][$k]; | ||||
| 						} | ||||
| 					} | ||||
|  | ||||
| 					for ($k = $this->m - 1; $k >= 0; --$k) { | ||||
| 						for ($j = 0; $j < $nx; ++$j) { | ||||
| 							$X[$k][$j] /= $this->L[$k][$k]; | ||||
| 						} | ||||
| 						for ($i = 0; $i < $k; ++$i) { | ||||
| 							for ($j = 0; $j < $nx; ++$j) { | ||||
| 								$X[$i][$j] -= $X[$k][$j] * $this->L[$k][$i]; | ||||
| 							} | ||||
| 						} | ||||
| 					} | ||||
|  | ||||
| 					return new Matrix($X, $this->m, $nx); | ||||
| 				} else { | ||||
| 					throw new Exception(JAMAError(MatrixSPDException)); | ||||
| 				} | ||||
| 			} else { | ||||
| 				throw new Exception(JAMAError(MatrixDimensionException)); | ||||
| 			} | ||||
| 		} else { | ||||
| 			throw new Exception(JAMAError(ArgumentTypeException)); | ||||
| 		} | ||||
| 	}	//	function solve() | ||||
|  | ||||
| }	//	class CholeskyDecomposition | ||||
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