Commit 7b856645 authored by Stéphane Adjemian's avatar Stéphane Adjemian
Browse files

Added routine performing reduced rank Cholesky factorization.

parent c250f8f4
function T = reduced_rank_cholesky(X)
% Computes the cholesky decomposition of a symetric semidefinite matrix or of a definite positive matrix.
%@info:
%! @deftypefn {Function File} { @var{T} =} reduced_rank_cholesky (@var{X})
%! @anchor{reduced_rank_cholesky}
%! @sp 1
%! Computes the cholesky decomposition of a symetric semidefinite matrix or of a definite positive matrix.
%! @sp 2
%! @strong{Inputs}
%! @sp 1
%! @table @ @var
%! @item X
%! n*n matrix of doubles to be factorized (X is supposed to be semidefinite positive).
%! @end table
%! @sp 2
%! @strong{Outputs}
%! @sp 1
%! @table @ @var
%! @item T
%! q*n matrix of doubles such that T'*T = X, where q is the number of positive eigenvalues in X.
%! @end table
%! @sp 2
%! @strong{Remarks}
%! @sp 1
%! [1] If X is not positive definite, then X has to be a symetric semidefinite matrix.
%! @sp 1
%! [2] The matrix T is upper triangular iff X is positive definite.
%! @sp 2
%! @strong{This function is called by:}
%! @sp 1
%! @ref{particle/sequential_importance_particle_filter}
%! @sp 2
%! @strong{This function calls:}
%! @sp 2
%! @end deftypefn
%@eod:
% Copyright (C) 2009, 2010, 2011 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
[T,X_is_not_positive_definite] = chol(X);
if X_is_not_positive_definite
n = length(X);
[U,D] = eig(X);
[tmp,max_elements_indices] = max(abs(U),[],1);
negloc = (U(max_elements_indices+(0:n:(n-1)*n))<0);
U(:,negloc) = -U(:,negloc);
D = diag(D);
tol = sqrt(eps(max(D))*length(D)*10);
t = (abs(D) > tol);
D = D(t);
if ~(sum(D<0))
T = diag(sqrt(D))*U(:,t)';
else
disp('reduced_rank_cholesky:: Input matrix is not semidefinite positive!')
T = NaN;
end
end
%@test:1
%$ n = 10;
%$ m = 100;
%$
%$ X = randn(n,m);
%$ X = X*X';
%$
%$ t = ones(2,1);
%$
%$ try
%$ T = reduced_rank_cholesky(X);
%$ catch
%$ t(1) = 0;
%$ T = all(t);
%$ return;
%$ end
%$
%$
%$ % Check the results.
%$ t(2) = dyn_assert(T,chol(X),1e-16);
%$ T = all(t);
%@eof:1
\ No newline at end of file
Supports Markdown
0% or .
You are about to add 0 people to the discussion. Proceed with caution.
Finish editing this message first!
Please register or to comment