LDL_Cholesky_decomposition Subroutine

public subroutine LDL_Cholesky_decomposition(A, L, D)

Alternative Cholesky decomposition of a matrix A This subroutine performs alternative Cholesky decomposition of a given symmetric positive definite matrix A, where L is a lower triangular matrix and D is a diagonal matrix.

Arguments

Type IntentOptional Attributes Name
real(kind=dp), intent(in), dimension(:, :) :: A
real(kind=dp), intent(out), dimension(size(A, 1), size(A, 1)) :: L
real(kind=dp), intent(out), dimension(size(A, 1), size(A, 1)) :: D

Calls

proc~~ldl_cholesky_decomposition~~CallsGraph proc~ldl_cholesky_decomposition LDL_Cholesky_decomposition proc~identity_n Identity_n proc~ldl_cholesky_decomposition->proc~identity_n

Source Code

    subroutine LDL_Cholesky_decomposition(A, L, D)

        real(dp), dimension(:, :), intent(in) :: A
        real(dp), dimension(size(A, 1), size(A, 1)), intent(out) :: L, D
        integer :: i, j, N, k

        N = size(A, 1)

        L = Identity_n(N)
        D = 0.d0

        do j = 1, N
            D(j, j) = A(j, j) - &
                      dot_product(L(j, 1:j - 1), L(j, 1:j - 1)*[(D(k, k), k=1, j - 1)])

            do i = j + 1, N
                L(i, j) = (A(i, j) - &
                           dot_product(L(i, 1:j - 1), L(j, 1:j - 1)*[(D(k, k), k=1, j - 1)])) / &
                          D(j, j)
            end do
        end do

    end subroutine LDL_Cholesky_decomposition