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/* ----------------------------------------------------------------------
* Project: CMSIS DSP Library
* Title: arm_mat_cholesky_f64.c
* Description: Floating-point Cholesky decomposition
*
* $Date: 23 April 2021
* $Revision: V1.9.0
*
* Target Processor: Cortex-M and Cortex-A cores
* -------------------------------------------------------------------- */
/*
* Copyright (C) 2010-2021 ARM Limited or its affiliates. All rights reserved.
*
* SPDX-License-Identifier: Apache-2.0
*
* Licensed under the Apache License, Version 2.0 (the License); you may
* not use this file except in compliance with the License.
* You may obtain a copy of the License at
*
* www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an AS IS BASIS, WITHOUT
* WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
#include "dsp/matrix_functions.h"
/**
@ingroup groupMatrix
*/
/**
@addtogroup MatrixChol
@{
*/
/**
* @brief Floating-point Cholesky decomposition of positive-definite matrix.
* @param[in] pSrc points to the instance of the input floating-point matrix structure.
* @param[out] pDst points to the instance of the output floating-point matrix structure.
* @return The function returns ARM_MATH_SIZE_MISMATCH, if the dimensions do not match.
* @return execution status
- \ref ARM_MATH_SUCCESS : Operation successful
- \ref ARM_MATH_SIZE_MISMATCH : Matrix size check failed
- \ref ARM_MATH_DECOMPOSITION_FAILURE : Input matrix cannot be decomposed
* @par
* If the matrix is ill conditioned or only semi-definite, then it is better using the LDL^t decomposition.
* The decomposition of A is returning a lower triangular matrix U such that A = U U^t
*/
arm_status arm_mat_cholesky_f64(
const arm_matrix_instance_f64 * pSrc,
arm_matrix_instance_f64 * pDst)
{
arm_status status; /* status of matrix inverse */
#ifdef ARM_MATH_MATRIX_CHECK
/* Check for matrix mismatch condition */
if ((pSrc->numRows != pSrc->numCols) ||
(pDst->numRows != pDst->numCols) ||
(pSrc->numRows != pDst->numRows) )
{
/* Set status as ARM_MATH_SIZE_MISMATCH */
status = ARM_MATH_SIZE_MISMATCH;
}
else
#endif /* #ifdef ARM_MATH_MATRIX_CHECK */
{
int i,j,k;
int n = pSrc->numRows;
float64_t invSqrtVj;
float64_t *pA,*pG;
pA = pSrc->pData;
pG = pDst->pData;
for(i=0 ; i < n ; i++)
{
for(j=i ; j < n ; j++)
{
pG[j * n + i] = pA[j * n + i];
for(k=0; k < i ; k++)
{
pG[j * n + i] = pG[j * n + i] - pG[i * n + k] * pG[j * n + k];
}
}
if (pG[i * n + i] <= 0.0)
{
return(ARM_MATH_DECOMPOSITION_FAILURE);
}
invSqrtVj = 1.0/sqrt(pG[i * n + i]);
for(j=i ; j < n ; j++)
{
pG[j * n + i] = pG[j * n + i] * invSqrtVj ;
}
}
status = ARM_MATH_SUCCESS;
}
/* Return to application */
return (status);
}
/**
@} end of MatrixChol group
*/
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