CDE

Task/Cholesky-decomposition/Python/cholesky-decomposition.py

@@ -0,0 +1,22 @@
+import math, pprint
+
+def cholesky(A):
+    L = [[0.0] * len(A) for _ in xrange(len(A))]
+    for i in xrange(len(A)):
+        for j in xrange(i+1):
+            s = sum(L[i][k] * L[j][k] for k in xrange(j))
+            L[i][j] = math.sqrt(A[i][i] - s) if (i == j) else \
+                      (1.0 / L[j][j] * (A[i][j] - s))
+    return L
+
+m1 = [[25, 15, -5],
+      [15, 18,  0],
+      [-5,  0, 11]]
+pprint.pprint(cholesky(m1))
+print
+
+m2 = [[18, 22,  54,  42],
+      [22, 70,  86,  62],
+      [54, 86, 174, 134],
+      [42, 62, 134, 106]]
+pprint.pprint(cholesky(m2))