ts-math/lib/cholesky.js

A collection of math functions and packages written in Typescript

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.cholesky = void 0;
const _1 = require(".");
// Generate a rows x cols matrix according to the supplied function.
function create(rows, cols, func) {
    var res = new Array(rows);
    for (let i = 0; i < rows; i++) {
        res[i] = new Array(cols);
        for (let j = 0; j < cols; j++)
            res[i][j] = func(i, j);
    }
    return res;
}
function retZero() {
    return 0;
}
// arange(5) -> [0,1,2,3,4]
// arange(1,5) -> [1,2,3,4]
// arange(5,1,-1) -> [5,4,3,2]
function arange(start, end, step) {
    var rl = [];
    step = step || 1;
    if (end === undefined) {
        end = start;
        start = 0;
    }
    if (start === end || step === 0) {
        return [];
    }
    if (start < end && step < 0) {
        return [];
    }
    if (start > end && step > 0) {
        return [];
    }
    if (step > 0) {
        for (let i = start; i < end; i += step) {
            rl.push(i);
        }
    }
    else {
        for (let i = start; i > end; i += step) {
            rl.push(i);
        }
    }
    return rl;
}
// Generate a rows x cols matrix of zeros.
function zeros(rows, cols) {
    return create(rows, cols, retZero);
}
// sum of an array
function sum(arr) {
    let sum = 0;
    let i = arr.length;
    while (--i >= 0)
        sum += arr[i];
    return sum;
}
// A -> T
// A=TT'
// T is lower triangular matrix
function cholesky(A) {
    const size = A.length;
    const T = zeros(A.length, A[0].length);
    let parts;
    arange(0, size, 1).forEach((i) => {
        parts = arange(0, i, 1).map((t) => _1.sqr(T[i][t]));
        T[i][i] = Math.sqrt(A[i][i] - sum(parts));
        arange(i + 1, size, 1).forEach((j) => {
            parts = arange(0, i, 1).map((t) => T[i][t] * T[j][t]);
            T[j][i] = (A[i][j] - sum(parts)) / T[i][i];
        });
    });
    return T;
}
exports.cholesky = cholesky;
//# sourceMappingURL=cholesky.js.map