diff options
author | Benoit Steiner <benoit.steiner.goog@gmail.com> | 2015-02-06 05:25:03 -0800 |
---|---|---|
committer | Benoit Steiner <benoit.steiner.goog@gmail.com> | 2015-02-06 05:25:03 -0800 |
commit | c739102ef9a52fcb194dcc77f785aa55879987e4 (patch) | |
tree | 22d19d1df4cb20baea532fa1ce13208329ff53e3 /Eigen/src/Cholesky/LDLT.h | |
parent | 2559fa9b0f20ea138cfb019d441ad1757221568d (diff) | |
parent | a8f2c6eec788c5cccc6beb9b5837544ea98a7154 (diff) |
Pulled the latest changes from the trunk
Diffstat (limited to 'Eigen/src/Cholesky/LDLT.h')
-rw-r--r-- | Eigen/src/Cholesky/LDLT.h | 98 |
1 files changed, 49 insertions, 49 deletions
diff --git a/Eigen/src/Cholesky/LDLT.h b/Eigen/src/Cholesky/LDLT.h index aa9784e54..5acbf4651 100644 --- a/Eigen/src/Cholesky/LDLT.h +++ b/Eigen/src/Cholesky/LDLT.h @@ -85,7 +85,7 @@ template<typename _MatrixType, int _UpLo> class LDLT * according to the specified problem \a size. * \sa LDLT() */ - LDLT(Index size) + explicit LDLT(Index size) : m_matrix(size, size), m_transpositions(size), m_temporary(size), @@ -98,7 +98,7 @@ template<typename _MatrixType, int _UpLo> class LDLT * This calculates the decomposition for the input \a matrix. * \sa LDLT(Index size) */ - LDLT(const MatrixType& matrix) + explicit LDLT(const MatrixType& matrix) : m_matrix(matrix.rows(), matrix.cols()), m_transpositions(matrix.rows()), m_temporary(matrix.rows()), @@ -175,13 +175,13 @@ template<typename _MatrixType, int _UpLo> class LDLT * \sa MatrixBase::ldlt(), SelfAdjointView::ldlt() */ template<typename Rhs> - inline const internal::solve_retval<LDLT, Rhs> + inline const Solve<LDLT, Rhs> solve(const MatrixBase<Rhs>& b) const { eigen_assert(m_isInitialized && "LDLT is not initialized."); eigen_assert(m_matrix.rows()==b.rows() && "LDLT::solve(): invalid number of rows of the right hand side matrix b"); - return internal::solve_retval<LDLT, Rhs>(*this, b.derived()); + return Solve<LDLT, Rhs>(*this, b.derived()); } template<typename Derived> @@ -217,6 +217,12 @@ template<typename _MatrixType, int _UpLo> class LDLT eigen_assert(m_isInitialized && "LDLT is not initialized."); return Success; } + + #ifndef EIGEN_PARSED_BY_DOXYGEN + template<typename RhsType, typename DstType> + EIGEN_DEVICE_FUNC + void _solve_impl(const RhsType &rhs, DstType &dst) const; + #endif protected: @@ -400,16 +406,16 @@ template<typename MatrixType> struct LDLT_Traits<MatrixType,Lower> { typedef const TriangularView<const MatrixType, UnitLower> MatrixL; typedef const TriangularView<const typename MatrixType::AdjointReturnType, UnitUpper> MatrixU; - static inline MatrixL getL(const MatrixType& m) { return m; } - static inline MatrixU getU(const MatrixType& m) { return m.adjoint(); } + static inline MatrixL getL(const MatrixType& m) { return MatrixL(m); } + static inline MatrixU getU(const MatrixType& m) { return MatrixU(m.adjoint()); } }; template<typename MatrixType> struct LDLT_Traits<MatrixType,Upper> { typedef const TriangularView<const typename MatrixType::AdjointReturnType, UnitLower> MatrixL; typedef const TriangularView<const MatrixType, UnitUpper> MatrixU; - static inline MatrixL getL(const MatrixType& m) { return m.adjoint(); } - static inline MatrixU getU(const MatrixType& m) { return m; } + static inline MatrixL getL(const MatrixType& m) { return MatrixL(m.adjoint()); } + static inline MatrixU getU(const MatrixType& m) { return MatrixU(m); } }; } // end namespace internal @@ -427,6 +433,7 @@ LDLT<MatrixType,_UpLo>& LDLT<MatrixType,_UpLo>::compute(const MatrixType& a) m_transpositions.resize(size); m_isInitialized = false; m_temporary.resize(size); + m_sign = internal::ZeroSign; internal::ldlt_inplace<UpLo>::unblocked(m_matrix, m_transpositions, m_temporary, m_sign); @@ -466,52 +473,45 @@ LDLT<MatrixType,_UpLo>& LDLT<MatrixType,_UpLo>::rankUpdate(const MatrixBase<Deri return *this; } -namespace internal { -template<typename _MatrixType, int _UpLo, typename Rhs> -struct solve_retval<LDLT<_MatrixType,_UpLo>, Rhs> - : solve_retval_base<LDLT<_MatrixType,_UpLo>, Rhs> +#ifndef EIGEN_PARSED_BY_DOXYGEN +template<typename _MatrixType, int _UpLo> +template<typename RhsType, typename DstType> +void LDLT<_MatrixType,_UpLo>::_solve_impl(const RhsType &rhs, DstType &dst) const { - typedef LDLT<_MatrixType,_UpLo> LDLTType; - EIGEN_MAKE_SOLVE_HELPERS(LDLTType,Rhs) - - template<typename Dest> void evalTo(Dest& dst) const + eigen_assert(rhs.rows() == rows()); + // dst = P b + dst = m_transpositions * rhs; + + // dst = L^-1 (P b) + matrixL().solveInPlace(dst); + + // dst = D^-1 (L^-1 P b) + // more precisely, use pseudo-inverse of D (see bug 241) + using std::abs; + const typename Diagonal<const MatrixType>::RealReturnType vecD(vectorD()); + // In some previous versions, tolerance was set to the max of 1/highest and the maximal diagonal entry * epsilon + // as motivated by LAPACK's xGELSS: + // RealScalar tolerance = numext::maxi(vectorD.array().abs().maxCoeff() *NumTraits<RealScalar>::epsilon(),RealScalar(1) / NumTraits<RealScalar>::highest()); + // However, LDLT is not rank revealing, and so adjusting the tolerance wrt to the highest + // diagonal element is not well justified and to numerical issues in some cases. + // Moreover, Lapack's xSYTRS routines use 0 for the tolerance. + RealScalar tolerance = RealScalar(1) / NumTraits<RealScalar>::highest(); + + for (Index i = 0; i < vecD.size(); ++i) { - eigen_assert(rhs().rows() == dec().matrixLDLT().rows()); - // dst = P b - dst = dec().transpositionsP() * rhs(); - - // dst = L^-1 (P b) - dec().matrixL().solveInPlace(dst); - - // dst = D^-1 (L^-1 P b) - // more precisely, use pseudo-inverse of D (see bug 241) - using std::abs; - EIGEN_USING_STD_MATH(max); - typedef typename LDLTType::MatrixType MatrixType; - typedef typename LDLTType::RealScalar RealScalar; - const typename Diagonal<const MatrixType>::RealReturnType vectorD(dec().vectorD()); - // In some previous versions, tolerance was set to the max of 1/highest and the maximal diagonal entry * epsilon - // as motivated by LAPACK's xGELSS: - // RealScalar tolerance = (max)(vectorD.array().abs().maxCoeff() *NumTraits<RealScalar>::epsilon(),RealScalar(1) / NumTraits<RealScalar>::highest()); - // However, LDLT is not rank revealing, and so adjusting the tolerance wrt to the highest - // diagonal element is not well justified and to numerical issues in some cases. - // Moreover, Lapack's xSYTRS routines use 0 for the tolerance. - RealScalar tolerance = RealScalar(1) / NumTraits<RealScalar>::highest(); - for (Index i = 0; i < vectorD.size(); ++i) { - if(abs(vectorD(i)) > tolerance) - dst.row(i) /= vectorD(i); - else - dst.row(i).setZero(); - } + if(abs(vecD(i)) > tolerance) + dst.row(i) /= vecD(i); + else + dst.row(i).setZero(); + } - // dst = L^-T (D^-1 L^-1 P b) - dec().matrixU().solveInPlace(dst); + // dst = L^-T (D^-1 L^-1 P b) + matrixU().solveInPlace(dst); - // dst = P^-1 (L^-T D^-1 L^-1 P b) = A^-1 b - dst = dec().transpositionsP().transpose() * dst; - } -}; + // dst = P^-1 (L^-T D^-1 L^-1 P b) = A^-1 b + dst = m_transpositions.transpose() * dst; } +#endif /** \internal use x = ldlt_object.solve(x); * |