LA Extension’s Free Functions

LA_Cholesky_Decompose ( io Mat A )

Compute the Cholesky decomposition of a square positive-definite matrix. Upon successful completion, A will store both the lower and upper components of the decomposition

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LA_Cholesky_Solve ( in Mat C, io Vec x, in Vec b )

Solve the linear equation Ax=b where A has already been decomposed by LA_Cholesky_Decompose as C

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LA_Elimination_Backward ( in Mat U, io Vec x, in Vec y )

Compute the solution X of Ux=y where U is upper triangular

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LA_Elimination_Forward ( in Mat L, io Vec y, in Vec b )

Compute the solution y of the equation Ly=b where L is lower triangular

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Scalar LA_QuadProg_Solve ( io Mat G, io Vec g0, in Mat CE, in Vec ce0, in Mat CI, in Vec ci0, io Vec x )

Quadratic Programming function implementing the Goldfarb-Idnani method