cholesky.go

func MatrixCholeskyDecomposition(matrix Matrix) Matrix {
	columns := matrix.cols()
	rows := matrix.rows()
	result_matrix := DenseZeros(rows, columns)

	var val float64

	for i := 0; i < rows; i++ {
		for j := 0; j <= i; j++ {
			accumulator := 0.

			for k := 0; k < j; k++ {
				accumulator += result_matrix.at(i, k) * result_matrix.at(j, k)
			}

			if i == j {
				val = math.Sqrt(matrix.at(i, j) - accumulator)
			} else if j < i {
				val = (matrix.at(i, j) - accumulator) / result_matrix.at(j, j)
			}

			result_matrix.set(i, j, val)
		}
	}

	return result_matrix
}