IMath.CholeskyDecomposition

Syntax

CholeskyDecomposition(Data: Array): Array;

Parameters

Data. A flat numeric array with an equal number of rows and columns.

Description

The CholeskyDecomposition method returns Cholesky decomposition result.

Comments

The decomposition is executed only for symmetric positive definite matrices.

Example

To execute the example, add a link to the MathFin system assembly.

Sub UserProc;
Var
    ChD, matr: Array Of Double;
    i, j: Integer;
Begin
    matr := New Double[3, 3];
    matr[0, 0] := 1; matr[0, 1] := 0; matr[0, 2] := 0;
    matr[1, 0] := 0; matr[1, 1] := 15; matr[1, 2] := 0;
    matr[2, 0] := 0; matr[2, 1] := 0; matr[2, 2] := 150;
    ChD := Math.CholeskyDecomposition(matr);
    If Math.Status = 0 Then
        For i := 0 To ChD.GetUpperBound(1) Do
            For j := 0 To ChD.GetUpperBound(2) Do
                Debug.Write(ChD[i, j].ToString + " ");
            End For;
            Debug.WriteLine("");
        End For;
        Else
        Debug.WriteLine("Error " + Math.Status.ToString + ": " + Math.ErrorMsg);
    End If;
End Sub UserProc;

After executing the example the console window displays the result of Cholesky decomposition.