Cholesky & Jakarta Commons MathMay 15, 2009 · 1 minute read · Comments
In Finance, Cholesky is a useful way to decompose Matrix. It is not so simple to find a BSD licensed code using cholesky (most of them are GPL like this one). There is one in Apache Commons Maths library, which is a very interesting library. However for performance, it is still not very practical for some things like Cholesky.
Looking at the source one can easily understand why. I did a small (many people will say not representative 1 million loop test) and finds out:
cholesky GPL= 5.4ms
So BSD code is 7 times slower! Of course it can do a bit more and has many checks of validity, but still. It shows it is not easy to do Math libraries, because some people will care a lot about this performance difference, and some other people won’t but will like the other “features”.