PDL-CholeskyPP
Cholesky decomposition decomposes a positive definite matrix A (any square
matrix such that for all column vectors v, v->transpose() x A x v > 0) into a
triangular matrix U such that U->transpose() x U = A. It can be thought of as
a matrix square root.
This module implements the cholesky decomposition in pdlpp, without any
external depencies like LAPACK or GSL. It was written b/c there was no
dependency-free implementation.
use PDL::CholeskyPP;
my $chol = $posdef->cholesky();
INSTALLATION
To install this module, run the following commands:
perl Makefile.PL
make
make test
make install
SUPPORT AND DOCUMENTATION
See:
perldoc PDL::CholeskyPP
and:
https://github.com/tnishimura/PDL-CholeskyPP
LICENSE AND COPYRIGHT
Copyright (C) 2012 T. Nishimura
This program is free software; you can redistribute it and/or modify it
under the terms of either: the GNU General Public License as published
by the Free Software Foundation; or the Artistic License.
See http://dev.perl.org/licenses/ for more information.