Mercurial > hg > octave-avbm
changeset 9870:5b733adba096
base isdefinite on cholesky decomposition
author | Jaroslav Hajek <highegg@gmail.com> |
---|---|
date | Thu, 26 Nov 2009 07:19:35 +0100 |
parents | ecd750d1eabd |
children | 87595d714005 |
files | scripts/ChangeLog scripts/linear-algebra/isdefinite.m |
diffstat | 2 files changed, 32 insertions(+), 24 deletions(-) [+] |
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--- a/scripts/ChangeLog +++ b/scripts/ChangeLog @@ -1,3 +1,7 @@ +2009-11-25 Jaroslav Hajek <highegg@gmail.com> + + * linear-algebra/isdefinite.m: Use Cholesky factorization. + 2009-11-24 Jaroslav Hajek <highegg@gmail.com> * general/issymmetric.m: Move to linear-algebra.
--- a/scripts/linear-algebra/isdefinite.m +++ b/scripts/linear-algebra/isdefinite.m @@ -21,7 +21,8 @@ ## Return 1 if @var{x} is symmetric positive definite within the ## tolerance specified by @var{tol} or 0 if @var{x} is symmetric ## positive semidefinite. Otherwise, return -1. If @var{tol} -## is omitted, use a tolerance equal to 100 times the machine precision. +## is omitted, use a tolerance equal to 100 times the machine precision, +## multiplied by the Frobeniusm norm of @var{x}. ## @seealso{issymmetric} ## @end deftypefn @@ -31,30 +32,33 @@ function retval = isdefinite (x, tol) - if (nargin == 1 || nargin == 2) - if (nargin == 1) - if (isa (x, "single")) - tol = 100 * eps("single"); - else - tol = 100*eps; - endif - endif - sym = ishermitian (x); - if (sym) - ## Matrix is symmetric, check eigenvalues. - mineig = min (eig (x)); - if (mineig > tol) - retval = 1; - elseif (mineig > -tol) - retval = 0; - else - retval = -1; - endif - else - error ("isdefinite: matrix x must be symmetric"); - endif - else + if (nargin < 1 || nargin > 2) print_usage (); endif + if (! ishermitian (x)) + error ("isdefinite: x must be a hermitian matrix"); + endif + + if (! isfloat (x)) + x = double (x); + endif + + if (nargin == 1) + tol = 100 * eps(class (x)) * norm (x, "fro"); + endif + + e = tol * eye (rows (x)); + [r, p] = chol (x - e); + if (p == 0) + retval = 1; + else + [r, p] = chol (x + e); + if (p == 0) + retval = 0; + else + retval = -1; + endif + endif + endfunction