/** Tests solve Ax = b from A and b. */
public void solveVector() {
final CholeskyDecompositionResult result = CDOG.evaluate(A5);
double[] b = new double[] {1.0, 2.0, 3.0, 4.0, -1.0};
double[] x = result.solve(b);
DoubleMatrix1D ax = (DoubleMatrix1D) ALGEBRA.multiply(A5, new DoubleMatrix1D(x));
ArrayAsserts.assertArrayEquals(
"Cholesky decomposition OpenGamma - solve", b, ax.getData(), 1.0E-10);
}
/** Tests solve AX = B from A and B. */
public void solveMatrix() {
final CholeskyDecompositionResult result = CDOG.evaluate(A5);
double[][] b = new double[][] {{1.0, 2.0}, {2.0, 3.0}, {3.0, 4.0}, {4.0, -2.0}, {-1.0, -1.0}};
DoubleMatrix2D x = result.solve(new DoubleMatrix2D(b));
DoubleMatrix2D ax = (DoubleMatrix2D) ALGEBRA.multiply(A5, x);
ArrayAsserts.assertArrayEquals(
"Cholesky decomposition OpenGamma - solve", b[0], ax.getData()[0], 1.0E-10);
ArrayAsserts.assertArrayEquals(
"Cholesky decomposition OpenGamma - solve", b[1], ax.getData()[1], 1.0E-10);
}
