Data commit

Task/Cholesky-decomposition/C-sharp/cholesky-decomposition.cs

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+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+
+namespace Cholesky
+{
+    class Program
+    {
+        /// <summary>
+        /// This is example is written in C#, and compiles with .NET Framework 4.0
+        /// </summary>
+        /// <param name="args"></param>
+        static void Main(string[] args)
+        {
+            double[,] test1 = new double[,]
+            {
+                {25, 15, -5},
+                {15, 18, 0},
+                {-5, 0, 11},
+            };
+
+            double[,] test2 = new double[,]
+            {
+                {18, 22, 54, 42},
+                {22, 70, 86, 62},
+                {54, 86, 174, 134},
+                {42, 62, 134, 106},
+            };
+
+            double[,] chol1 = Cholesky(test1);
+            double[,] chol2 = Cholesky(test2);
+
+            Console.WriteLine("Test 1: ");
+            Print(test1);
+            Console.WriteLine("");
+            Console.WriteLine("Lower Cholesky 1: ");
+            Print(chol1);
+            Console.WriteLine("");
+            Console.WriteLine("Test 2: ");
+            Print(test2);
+            Console.WriteLine("");
+            Console.WriteLine("Lower Cholesky 2: ");
+            Print(chol2);
+
+        }
+
+        public static void Print(double[,] a)
+        {
+            int n = (int)Math.Sqrt(a.Length);
+
+            StringBuilder sb = new StringBuilder();
+            for (int r = 0; r < n; r++)
+            {
+                string s = "";
+                for (int c = 0; c < n; c++)
+                {
+                    s += a[r, c].ToString("f5").PadLeft(9) + ",";
+                }
+                sb.AppendLine(s);
+            }
+
+            Console.WriteLine(sb.ToString());
+        }
+
+        /// <summary>
+        /// Returns the lower Cholesky Factor, L, of input matrix A.
+        /// Satisfies the equation: L*L^T = A.
+        /// </summary>
+        /// <param name="a">Input matrix must be square, symmetric,
+        /// and positive definite. This method does not check for these properties,
+        /// and may produce unexpected results of those properties are not met.</param>
+        /// <returns></returns>
+        public static double[,] Cholesky(double[,] a)
+        {
+            int n = (int)Math.Sqrt(a.Length);
+
+            double[,] ret = new double[n, n];
+            for (int r = 0; r < n; r++)
+                for (int c = 0; c <= r; c++)
+                {
+                    if (c == r)
+                    {
+                        double sum = 0;
+                        for (int j = 0; j < c; j++)
+                        {
+                            sum += ret[c, j] * ret[c, j];
+                        }
+                        ret[c, c] = Math.Sqrt(a[c, c] - sum);
+                    }
+                    else
+                    {
+                        double sum = 0;
+                        for (int j = 0; j < c; j++)
+                            sum += ret[r, j] * ret[c, j];
+                        ret[r, c] = 1.0 / ret[c, c] * (a[r, c] - sum);
+                    }
+                }
+
+            return ret;
+        }
+    }
+}