diff options
author | Rasmus Munk Larsen <rmlarsen@google.com> | 2016-04-01 10:27:59 -0700 |
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committer | Rasmus Munk Larsen <rmlarsen@google.com> | 2016-04-01 10:27:59 -0700 |
commit | 1aa89fb85548dc425d54d2cbe7f28915c29db13a (patch) | |
tree | e2de38e397b0bd23f7f4ab8ee62236e6c91d8fa5 /Eigen/src/LU | |
parent | 1b40abbf99d2022d1167063f7e52126cbe8d76bd (diff) |
Add matrix condition estimator module that implements the Higham/Hager algorithm from http://www.maths.manchester.ac.uk/~higham/narep/narep135.pdf used in LPACK. Add rcond() methods to FullPivLU and PartialPivLU.
Diffstat (limited to 'Eigen/src/LU')
-rw-r--r-- | Eigen/src/LU/FullPivLU.h | 13 | ||||
-rw-r--r-- | Eigen/src/LU/PartialPivLU.h | 19 |
2 files changed, 28 insertions, 4 deletions
diff --git a/Eigen/src/LU/FullPivLU.h b/Eigen/src/LU/FullPivLU.h index 1721213d6..ff0b78c35 100644 --- a/Eigen/src/LU/FullPivLU.h +++ b/Eigen/src/LU/FullPivLU.h @@ -231,6 +231,15 @@ template<typename _MatrixType> class FullPivLU return Solve<FullPivLU, Rhs>(*this, b.derived()); } + /** \returns an estimate of the reciprocal condition number of the matrix of which *this is + the LU decomposition. + */ + inline RealScalar rcond() const + { + eigen_assert(m_isInitialized && "PartialPivLU is not initialized."); + return ConditionEstimator<FullPivLU<_MatrixType> >::rcond(m_l1_norm, *this); + } + /** \returns the determinant of the matrix of which * *this is the LU decomposition. It has only linear complexity * (that is, O(n) where n is the dimension of the square matrix) @@ -410,6 +419,7 @@ template<typename _MatrixType> class FullPivLU IntColVectorType m_rowsTranspositions; IntRowVectorType m_colsTranspositions; Index m_det_pq, m_nonzero_pivots; + RealScalar m_l1_norm; RealScalar m_maxpivot, m_prescribedThreshold; bool m_isInitialized, m_usePrescribedThreshold; }; @@ -455,11 +465,12 @@ FullPivLU<MatrixType>& FullPivLU<MatrixType>::compute(const EigenBase<InputType> // the permutations are stored as int indices, so just to be sure: eigen_assert(matrix.rows()<=NumTraits<int>::highest() && matrix.cols()<=NumTraits<int>::highest()); - m_isInitialized = true; m_lu = matrix.derived(); + m_l1_norm = m_lu.cwiseAbs().colwise().sum().maxCoeff(); computeInPlace(); + m_isInitialized = true; return *this; } diff --git a/Eigen/src/LU/PartialPivLU.h b/Eigen/src/LU/PartialPivLU.h index ab7797d2a..5d71a66d0 100644 --- a/Eigen/src/LU/PartialPivLU.h +++ b/Eigen/src/LU/PartialPivLU.h @@ -76,7 +76,6 @@ template<typename _MatrixType> class PartialPivLU typedef Transpositions<RowsAtCompileTime, MaxRowsAtCompileTime> TranspositionType; typedef typename MatrixType::PlainObject PlainObject; - /** * \brief Default Constructor. * @@ -152,6 +151,15 @@ template<typename _MatrixType> class PartialPivLU return Solve<PartialPivLU, Rhs>(*this, b.derived()); } + /** \returns an estimate of the reciprocal condition number of the matrix of which *this is + the LU decomposition. + */ + inline RealScalar rcond() const + { + eigen_assert(m_isInitialized && "PartialPivLU is not initialized."); + return ConditionEstimator<PartialPivLU<_MatrixType> >::rcond(m_l1_norm, *this); + } + /** \returns the inverse of the matrix of which *this is the LU decomposition. * * \warning The matrix being decomposed here is assumed to be invertible. If you need to check for @@ -178,7 +186,7 @@ template<typename _MatrixType> class PartialPivLU * * \sa MatrixBase::determinant() */ - typename internal::traits<MatrixType>::Scalar determinant() const; + Scalar determinant() const; MatrixType reconstructedMatrix() const; @@ -247,6 +255,7 @@ template<typename _MatrixType> class PartialPivLU PermutationType m_p; TranspositionType m_rowsTranspositions; Index m_det_p; + RealScalar m_l1_norm; bool m_isInitialized; }; @@ -256,6 +265,7 @@ PartialPivLU<MatrixType>::PartialPivLU() m_p(), m_rowsTranspositions(), m_det_p(0), + m_l1_norm(0), m_isInitialized(false) { } @@ -266,6 +276,7 @@ PartialPivLU<MatrixType>::PartialPivLU(Index size) m_p(size), m_rowsTranspositions(size), m_det_p(0), + m_l1_norm(0), m_isInitialized(false) { } @@ -277,6 +288,7 @@ PartialPivLU<MatrixType>::PartialPivLU(const EigenBase<InputType>& matrix) m_p(matrix.rows()), m_rowsTranspositions(matrix.rows()), m_det_p(0), + m_l1_norm(0), m_isInitialized(false) { compute(matrix.derived()); @@ -467,6 +479,7 @@ PartialPivLU<MatrixType>& PartialPivLU<MatrixType>::compute(const EigenBase<Inpu eigen_assert(matrix.rows()<NumTraits<int>::highest()); m_lu = matrix.derived(); + m_l1_norm = m_lu.cwiseAbs().colwise().sum().maxCoeff(); eigen_assert(matrix.rows() == matrix.cols() && "PartialPivLU is only for square (and moreover invertible) matrices"); const Index size = matrix.rows(); @@ -484,7 +497,7 @@ PartialPivLU<MatrixType>& PartialPivLU<MatrixType>::compute(const EigenBase<Inpu } template<typename MatrixType> -typename internal::traits<MatrixType>::Scalar PartialPivLU<MatrixType>::determinant() const +typename PartialPivLU<MatrixType>::Scalar PartialPivLU<MatrixType>::determinant() const { eigen_assert(m_isInitialized && "PartialPivLU is not initialized."); return Scalar(m_det_p) * m_lu.diagonal().prod(); |