solve_chol.m

高斯过程在回归和分类问题中的应用

% solve_chol - solve linear equations from the Cholesky factorization.
% Solve A*X = B for X, where A is square, symmetric, positive definite. The
% input to the function is R the Cholesky decomposition of A and the matrix B.
% Example: X = solve_chol(chol(A),B);
%
% NOTE: The program code is written in the C language for efficiency and is
% contained in the file solve_chol.c, and should be compiled using matlabs mex
% facility. However, this file also contains a (less efficient) matlab
% implementation, supplied only as a help to people unfamiliar with mex. If
% the C code has been properly compiled and is avaiable, it automatically
% takes precendence over the matlab code in this file.
%
% Copyright (c) 2004, 2005, 2006 by Carl Edward Rasmussen. 2006-02-08.

function x = solve_chol(A, B);

if nargin ~= 2 | nargout > 1
  error('Wrong number of arguments.');
end

if size(A,1) ~= size(A,2) | size(A,1) ~= size(B,1)
  error('Wrong sizes of matrix arguments.');
end

x = A\(A'\B);