28 lines
825 B
Ruby
28 lines
825 B
Ruby
require 'matrix'
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class Matrix
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def cholesky_factor
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raise ArgumentError, "must provide symmetric matrix" unless symmetric?
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l = Array.new(row_size) {Array.new(row_size, 0)}
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(0 ... row_size).each do |k|
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(0 ... row_size).each do |i|
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if i == k
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sum = (0 .. k-1).inject(0.0) {|sum, j| sum + l[k][j] ** 2}
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val = Math.sqrt(self[k,k] - sum)
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l[k][k] = val
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elsif i > k
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sum = (0 .. k-1).inject(0.0) {|sum, j| sum + l[i][j] * l[k][j]}
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val = (self[k,i] - sum) / l[k][k]
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l[i][k] = val
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end
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end
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end
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Matrix[*l]
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end
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end
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puts Matrix[[25,15,-5],[15,18,0],[-5,0,11]].cholesky_factor
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puts Matrix[[18, 22, 54, 42],
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[22, 70, 86, 62],
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[54, 86, 174, 134],
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[42, 62, 134, 106]].cholesky_factor
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