LDL Decomposition for ndarrays
$ npm install ndarray-ldl-factorization
For use in the browser, use browserify.
var ldl = require( 'ndarray-ldl-factorization' );
This function calculates the LDL decomposition of matrix A = LDL^t
, where L
is a lower-unit triangular matrix and D
is a diagonal matrix. Consult the book Matrix computations (3rd ed.) by Gene H. Golub and Charles F. Van Loan for further information. The function takes L
and d
, the vector of diagonal elements of D
, as arguments and changes them during execution. Note in particular the the upper triangular part of L
is left untouched and so is not automatically zeroed.
This function calculates the in-place LDL decomposition of matrix A = LDL^t
. It is equivalent to ldl( A, A, diag(A) )
using diag = require('ndarray-diagonal')
.
var ndarray = require('ndarray'),
show = require('ndarray-show'),
ldl = require( 'ndarray-ldl-factorization' ),
pool = require('ndarray-scratch');
var A = ndarray(new Float64Array([9,-1,2,-1,8,-5,2,-5,7]), [3,3]);
var L = pool.zeros( A.shape, A.dtype );
var d = pool.zeros( [ A.shape[0] ], A.dtype);
ldl(A, L, d);
console.log( 'A:\n' + show(A), '\n' );
/*
9.000 -1.000 2.000
-1.000 8.000 -5.000
2.000 -5.000 7.000
*/
console.log( 'L:\n' + show(L) );
/*
1.000 -0.111 0.222
0.000 1.000 -0.606
0.000 0.000 1.000
*/
console.log( 'd:\n' + show(d) );
/*
9.000 7.889 3.662
*/
To run the example code from the top-level application directory,
$ node ./examples/index.js
Unit tests use the Tape test framework. To run the tests, execute the following command in the top-level application directory:
$ npm test
Copyright © 2015. Philipp Burckhardt.