add a minimalistict lapack wrapper

1 files changed, 87 insertions, 0 deletions

diff --git a/lapack/cholesky.cpp b/lapack/cholesky.cpp
new file mode 100644
index 000000000..c3a72c3c5
--- /dev/null
+++ b/lapack/cholesky.cpp
@@ -0,0 +1,87 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2010-2011 Gael Guennebaud <gael.guennebaud@inria.fr>
+//
+// Eigen is free software; you can redistribute it and/or
+// modify it under the terms of the GNU Lesser General Public
+// License as published by the Free Software Foundation; either
+// version 3 of the License, or (at your option) any later version.
+//
+// Alternatively, you can redistribute it and/or
+// modify it under the terms of the GNU General Public License as
+// published by the Free Software Foundation; either version 2 of
+// the License, or (at your option) any later version.
+//
+// Eigen is distributed in the hope that it will be useful, but WITHOUT ANY
+// WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+// FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License or the
+// GNU General Public License for more details.
+//
+// You should have received a copy of the GNU Lesser General Public
+// License and a copy of the GNU General Public License along with
+// Eigen. If not, see <http://www.gnu.org/licenses/>.
+
+#include "lapack_common.h"
+#include <Eigen/Cholesky>
+
+// POTRF computes the Cholesky factorization of a real symmetric positive definite matrix A.
+EIGEN_LAPACK_FUNC(potrf,(char* uplo, int *n, RealScalar *pa, int *lda, int *info))
+{
+  *info = 0;
+        if(UPLO(*uplo)==INVALID) *info = -1;
+  else  if(*n<0)                 *info = -2;
+  else  if(*lda<std::max(1,*n))  *info = -4;
+  if(*info!=0)
+  {
+    int e = -*info;
+    return xerbla_(SCALAR_SUFFIX_UP"POTRF", &e, 6);
+  }
+
+  Scalar* a = reinterpret_cast<Scalar*>(pa);
+  MatrixType A(a,*n,*n,*lda);
+  int ret;
+  if(UPLO(*uplo)==UP) ret = internal::llt_inplace<Upper>::blocked(A);
+  else                ret = internal::llt_inplace<Lower>::blocked(A);
+
+  if(ret>=0)
+    *info = ret+1;
+  
+  return 0;
+}
+
+// POTRS solves a system of linear equations A*X = B with a symmetric
+// positive definite matrix A using the Cholesky factorization
+// A = U**T*U or A = L*L**T computed by DPOTRF.
+EIGEN_LAPACK_FUNC(potrs,(char* uplo, int *n, int *nrhs, RealScalar *pa, int *lda, RealScalar *pb, int *ldb, int *info))
+{
+  *info = 0;
+        if(UPLO(*uplo)==INVALID) *info = -1;
+  else  if(*n<0)                 *info = -2;
+  else  if(*nrhs<0)              *info = -3;
+  else  if(*lda<std::max(1,*n))  *info = -5;
+  else  if(*ldb<std::max(1,*n))  *info = -7;
+  if(*info!=0)
+  {
+    int e = -*info;
+    return xerbla_(SCALAR_SUFFIX_UP"POTRS", &e, 6);
+  }
+
+  Scalar* a = reinterpret_cast<Scalar*>(pa);
+  Scalar* b = reinterpret_cast<Scalar*>(pb);
+  MatrixType A(a,*n,*n,*lda);
+  MatrixType B(b,*n,*nrhs,*ldb);
+
+  if(UPLO(*uplo)==UP)
+  {
+    A.triangularView<Upper>().adjoint().solveInPlace(B);
+    A.triangularView<Upper>().solveInPlace(B);
+  }
+  else
+  {
+    A.triangularView<Lower>().solveInPlace(B);
+    A.triangularView<Lower>().adjoint().solveInPlace(B);
+  }
+
+  return 0;
+}