CMSIS_5/CMSIS/DSP/Source/MatrixFunctions/arm_mat_cholesky_f64.c

/* ----------------------------------------------------------------------
 * 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
 */