linalg/decomp
matrix decompositions (Cholesky, LU, QR)
chol-factor
(defstruct chol-factor [])
result of a Cholesky decomposition A = L L'.
lu-factor
(defstruct lu-factor [])
result of LU decomposition PA = LU.
qr-factor
(defstruct qr-factor [])
result of QR decomposition A = QR.
chol
(chol [A] :int)
Cholesky decomposition (Cholesky-Banachiewicz algorithm)
The Cholesky-Banachiewicz algorithm computes the lower triangular matrix L such that A = L * L'. A must be symmetric positive-definite. The algorithm detects non-SPD matrices by checking for non-positive pivots.
chol-free
(chol-free [f] :void)
free a Cholesky factor
lu
(lu [A] :int)
LU decomposition with partial pivoting (Doolittle algorithm)
lu-free
(lu-free [f] :void)
free an LU factor
qr
(qr [A] :int)
QR decomposition via Householder reflections
Uses Householder reflections to compute Q (orthogonal) and R (upper triangular). Q is computed as a product of Householder matrices and is m x m. R is m x n and upper triangular.
qr-free
(qr-free [f] :void)
free a QR factor