Cholesky Tools

Basic operations for symmetric positive definite matrices.

Installation

npm install cholesky-tools

Usage

The following functions are provided: cholesky, determinant and inverse. They assume the input parameter is symmetric positive definite matrix. Some functions accept second optional parameter choleskyL. If provided, function might use it for performance boost.

For performance reasons there is no input validation. It is up to user to insure valid input.

The following example shows all the functionality.

const ct = require('cholesky-tools');

// define symmetric positive definite matrix
var A = [
	[4, -2],
	[-2, 2]
];

// calculate cholesky decomposition, the result is lower triangular matrix
var L = ct.cholesky(A);  // [[2, 0], [-1, 1]]

// calculate inverse
var Ainv = ct.inverse(A);  // [[0.5, 0.5], [0.5, 1]]

// calculate inverse with providing cholesky decomposition matrix L.
// L must be lower triangular
var Ainv2 = ct.inverse(A, L);  // [[0.5, 0.5], [0.5, 1]]

// calculate determinant
var det = ct.determinant(A);  // 4

// calculate determinant with providing cholesky decomposition matrix L.
// L must be lower triangular
var det2 = ct.determinant(A, L);  // 4

License

This software is released under the MIT license.