add a minimalistict lapack wrapper

1 files changed, 104 insertions, 0 deletions

diff --git a/lapack/lu.cpp b/lapack/lu.cpp
new file mode 100644
index 000000000..4bd3d775c
--- /dev/null
+++ b/lapack/lu.cpp
@@ -0,0 +1,104 @@
+// 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 "common.h"
+#include <Eigen/LU>
+
+// computes an LU factorization of a general M-by-N matrix A using partial pivoting with row interchanges
+EIGEN_LAPACK_FUNC(getrf,(int *m, int *n, RealScalar *pa, int *lda, int *ipiv, int *info))
+{
+  *info = 0;
+        if(*m<0)                  *info = -1;
+  else  if(*n<0)                  *info = -2;
+  else  if(*lda<std::max(1,*m))   *info = -4;
+  if(*info!=0)
+  {
+    int e = -*info;
+    return xerbla_(SCALAR_SUFFIX_UP"GETRF", &e, 6);
+  }
+
+  if(*m==0 || *n==0)
+    return 0;
+
+  Scalar* a = reinterpret_cast<Scalar*>(pa);
+  int nb_transpositions;
+  int ret = Eigen::internal::partial_lu_impl<Scalar,ColMajor,int>
+                 ::blocked_lu(*m, *n, a, *lda, ipiv, nb_transpositions);
+
+  for(int i=0; i<std::min(*m,*n); ++i)
+    ipiv[i]++;
+
+  if(ret>=0)
+    *info = ret+1;
+
+  return 0;
+}
+
+//GETRS solves a system of linear equations
+//    A * X = B  or  A' * X = B
+//  with a general N-by-N matrix A using the LU factorization computed  by GETRF
+EIGEN_LAPACK_FUNC(getrs,(char *trans, int *n, int *nrhs, RealScalar *pa, int *lda, int *ipiv, RealScalar *pb, int *ldb, int *info))
+{
+  *info = 0;
+        if(OP(*trans)==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 = -8;
+  if(*info!=0)
+  {
+    int e = -*info;
+    return xerbla_(SCALAR_SUFFIX_UP"GETRS", &e, 6);
+  }
+
+  Scalar* a = reinterpret_cast<Scalar*>(pa);
+  Scalar* b = reinterpret_cast<Scalar*>(pb);
+  MatrixType lu(a,*n,*n,*lda);
+  MatrixType B(b,*n,*nrhs,*ldb);
+
+  for(int i=0; i<*n; ++i)
+    ipiv[i]--;
+  if(OP(*trans)==NOTR)
+  {
+    B = PivotsType(ipiv,*n) * B;
+    lu.triangularView<UnitLower>().solveInPlace(B);
+    lu.triangularView<Upper>().solveInPlace(B);
+  }
+  else if(OP(*trans)==TR)
+  {
+    lu.triangularView<Upper>().transpose().solveInPlace(B);
+    lu.triangularView<UnitLower>().transpose().solveInPlace(B);
+    B = PivotsType(ipiv,*n).transpose() * B;
+  }
+  else if(OP(*trans)==ADJ)
+  {
+    lu.triangularView<Upper>().adjoint().solveInPlace(B);
+    lu.triangularView<UnitLower>().adjoint().solveInPlace(B);
+    B = PivotsType(ipiv,*n).transpose() * B;
+  }
+  for(int i=0; i<*n; ++i)
+    ipiv[i]++;
+
+  return 0;
+}