choles01.gms : Test cholesky utility
Finds the cholesky decomposition A=LL' of a positive definite symmetric matrix
A through an external program
Contributor: Erwin Kalvelagen, Amsterdam Optimization
Small Model of Type: GAMS
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$title Test cholesky utility (CHOLES01,SEQ=411)
$ontext
Finds the cholesky decomposition A=LL' of a positive definite symmetric matrix
A through an external program
Contributor: Erwin Kalvelagen, Amsterdam Optimization
$offtext
set i / i1*i5 /;
alias (i,j);
table a(i,j) 'original matrix'
i1 i2 i3 i4 i5
i1 64 48 24 8 8
i2 48 72 42 54 36
i3 24 42 89 107 95
i4 8 54 107 210 186
i5 8 36 95 186 187
;
scalar rc;
parameter L(i,j) 'cholesky factor';
execute_unload 'a.gdx',i,a;
execute 'cholesky a.gdx i a b.gdx L > cholesky.log';
rc=errorlevel;
abort$(rc > 0) 'Nonzero return code from cholesky', rc;
execute_load 'b.gdx',L;
rc=errorlevel;
abort$(rc > 0) 'Error loading Cholesky factor L2 from b.gdx', rc;
display a,L;
*
* only lower triangular part of A is used
*
table a2(i,j) 'original matrix'
i1 i2 i3 i4 i5
i1 64
i2 48 72
i3 24 42 89
i4 8 54 107 210
i5 8 36 95 186 187
;
parameter L2(i,j) 'cholesky factor';
execute_unload 'a.gdx',i,a2;
execute 'cholesky a.gdx i a2 b.gdx L2 > cholesky.log';
rc=errorlevel;
abort$(rc > 0) 'Nonzero return code from cholesky', rc;
execute_load 'b.gdx',L2;
rc=errorlevel;
abort$(rc > 0) 'Error loading Cholesky factor L2 from b.gdx', rc;
display a2,L2;
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