choles02.gms : Test cholesky utility
Test factor returned by the cholesky utility
Contributor: Steve Dirkse
Small Model of Type: GAMS
<![CDATA[
$title Test cholesky utility (CHOLES02,SEQ=412)
$ontext
Test factor returned by the cholesky utility
Contributor: Steve Dirkse
$offtext
set I / i1 * i3 /;
alias (I,J,K);
parameters
L0(I,J) 'lower triangular matrix'
A(I,J) 'L * L-transpose'
L1(I,J) 'computed cholesky factor'
err(I,J) 'L0 - L1'
;
table L0
i1 i2 i3
i1 4
i2 2 1
i3 1 4 2 ;
A(I,J) = sum {K, L0(I,K)*L0(J,K)};
scalar rc;
execute_unload 'a.gdx', I, A;
execute 'cholesky a.gdx i a L.gdx L > cholesky.log';
rc=errorlevel;
abort$(rc > 0) 'Nonzero return code from cholesky', rc;
execute_load 'L.gdx',L1=L;
rc=errorlevel;
abort$(rc > 0) 'Error loading Cholesky factor L1 from L.gdx', rc;
err(I,J) = L0(I,J) - L1(I,J);
display L0, L1, err;
rc = sum{(I,J), abs(err(I,J))};
abort$[rc > 1e-8] 'bad Cholesky factor returned: expected L0, got L1';
]]></plaintext></body></div>