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Cholesky Decomposition: Switch Case

This document describes the Cholesky decomposition method for solving systems of linear equations and finding the inverse of a matrix. It provides a menu that allows the user to choose between these two applications. It then uses a Cholesky decomposition function to decompose the input matrix into a lower triangular matrix before solving the system of equations or calculating the inverse. The Cholesky decomposition function decomposes the symmetric positive definite input matrix into a lower triangular matrix.

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Kuldeep Ratnu
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38 views2 pages

Cholesky Decomposition: Switch Case

This document describes the Cholesky decomposition method for solving systems of linear equations and finding the inverse of a matrix. It provides a menu that allows the user to choose between these two applications. It then uses a Cholesky decomposition function to decompose the input matrix into a lower triangular matrix before solving the system of equations or calculating the inverse. The Cholesky decomposition function decomposes the symmetric positive definite input matrix into a lower triangular matrix.

Uploaded by

Kuldeep Ratnu
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Cholesky decomposition

disp('***************************MAIN
MENU*************************');
disp('Applications of Cholesky Decomposition');
disp('1. Solve a system of linear equations');
disp('2. Find inverse of a matrix');
choice=input('Enter your choice:');
switch choice
case 1
A=input('Enter matrix A:');
L=cholesky2(A)
b=input('Enter matrix B:');
z=L\b;
Forward substitution
disp('Solution Vector')
x=L'\z
Backward substitution
case 2
A=input('Enter matrix A:');
L=cholesky2(A)
disp('Inverse of A :')
Ainv= inv(L')*inv(L)
otherwise
disp('Wrong Choice!!')
return;
end
%*************END of the Program *******************

%
%

function [ L ] = cholesky2( A )
[m,n]=size(A);
if m~=n
disp('Matrix shoud be a square matrix');
elseif A~=A'
fprintf('Given matrix is not symmetric. \n Cholesky Method
doesnot apply to asymmetric matrices!\n');
elseif length(find(eig(A)>0))~=length(eig(A))
fprintf('Given matrix is not positive definite. \n Cholesky
Method doesnot apply to non-positive definite matrices!\n');
else
L = zeros( n, n );
for j=1:n
for i=j:n
sum=0;
if i==j
for k=1 : j-1
sum = sum + L(j,k)^2;
end
L(j,j)=sqrt(A(j,j)-sum);
else

end
end

end

for k=1 : j-1


sum = sum + L(i,k)*L(j,k);
end
L(i,j)=(A(i,j)- sum)/L(j,j);
end
end

output:
METHOD 2function A=Cholesky(A)
% Cholesky Factorization for symmetric positive definite matrix

% Factorize A such that A = L*L',


% where L is a lower triangular matrix whose diagonal entries are not
% necessarily unity
[n nn]=size(A);
for k=1:n
A(k,k)=sqrt(A(k,k));
A(k+1:n,k)=A(k+1:n,k)/A(k,k);
for j=k+1:n
A(j:n,j)=A(j:n,j)-A(j,k)*A(j:n,k);
end
end

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