FastCholesky

This package exports fastcholesky function, which works exactly like the cholesky from the Julia, but faster!

FastCholesky.cholinv — Method
cholinv(input)

Calculate the inverse of the input matrix input using Cholesky factorization. This function is an alias for inv(fastcholesky(input)).

julia> A = [4.0 2.0; 2.0 5.0];

julia> A_inv = cholinv(A);

julia> A_inv ≈ inv(A)
true
source
FastCholesky.cholinv_logdet — Method
cholinv_logdet(input)

Calculate the inverse and the natural logarithm of the determinant of the input matrix input simultaneously using Cholesky factorization.

julia> A = [4.0 2.0; 2.0 5.0];

julia> A_inv, logdet_A = cholinv_logdet(A);

julia> isapprox(A_inv * A, I)
true

julia> isapprox(logdet_A, log(det(A)))
true
source
FastCholesky.chollogdet — Method
chollogdet(input)

Calculate the log-determinant of the input matrix input using Cholesky factorization. This function is an alias for logdet(fastcholesky(input)).

julia> A = [4.0 2.0; 2.0 5.0];

julia> logdet_A = chollogdet(A);

julia> isapprox(logdet_A, log(det(A)))
true
source
FastCholesky.cholsqrt — Method
cholsqrt(input)

Calculate the Cholesky square root of the input matrix input. This function is an alias for fastcholesky(input).L. NOTE: This is not equal to the standard matrix square root used in literature, which requires the result to be symmetric.

julia> A = [4.0 2.0; 2.0 5.0];

julia> A_sqrt = cholsqrt(A);

julia> isapprox(A_sqrt * A_sqrt', A)
true
source
FastCholesky.fastcholesky! — Function
fastcholesky!(input)

Calculate the Cholesky factorization of the input matrix input in-place. This function is an in-place version of fastcholesky, and it does not check the positive-definiteness of the input matrix or throw errors. You can use LinearAlgebra.issuccess to check if the result is a proper Cholesky factorization.

Note

This function does not verify the positive-definiteness of the input matrix and does not throw errors. Ensure that the input matrix is appropriate for Cholesky factorization before using this function.

julia> C = fastcholesky!([ 1.0 0.5; 0.5 1.0 ]);

julia> C.L * C.L' ≈ [ 1.0 0.5; 0.5 1.0 ]
true
source
FastCholesky.fastcholesky — Method
fastcholesky(input)

Calculate the Cholesky factorization of the input matrix input. This function provides a more efficient implementation for certain input matrices compared to the standard LinearAlgebra.cholesky function. By default, it falls back to using LinearAlgebra.cholesky(PositiveFactorizations.Positive, input), which means it does not require the input matrix to be perfectly symmetric.

Note

This function assumes that the input matrix is nearly positive definite, and it will attempt to make the smallest possible adjustments to the matrix to ensure it becomes positive definite. Note that the magnitude of these adjustments may not necessarily be small, so it's important to use this function only when you expect the input matrix to be nearly positive definite.

julia> C = fastcholesky([ 1.0 0.5; 0.5 1.0 ]);

julia> C.L * C.L' ≈ [ 1.0 0.5; 0.5 1.0 ]
true
source