added Cholesky module

1 files changed, 65 insertions, 0 deletions

diff --git a/test/cholesky.cpp b/test/cholesky.cpp
new file mode 100644
index 000000000..3d8351d8c
--- /dev/null
+++ b/test/cholesky.cpp
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+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra. Eigen itself is part of the KDE project.
+//
+// Copyright (C) 2008 Gael Guennebaud <g.gael@free.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 "main.h"
+
+#include <Eigen/Cholesky>
+
+namespace Eigen {
+
+template<typename MatrixType> void cholesky(const MatrixType& m)
+{
+  /* this test covers the following files:
+     Cholesky.h CholeskyWithoutSquareRoot.h
+  */
+  int rows = m.rows();
+  int cols = m.cols();
+
+  typedef typename MatrixType::Scalar Scalar;
+  typedef Matrix<Scalar, MatrixType::ColsAtCompileTime, MatrixType::ColsAtCompileTime> SquareMatrixType;
+  typedef Matrix<Scalar, MatrixType::ColsAtCompileTime, 1> VectorType;
+
+  MatrixType a = MatrixType::random(rows,cols).transpose();
+  VectorType b = VectorType::random(cols);
+  SquareMatrixType covMat =  a.transpose() * a;
+
+  CholeskyWithoutSquareRoot<SquareMatrixType> cholnosqrt(covMat);
+  VERIFY_IS_APPROX(covMat, cholnosqrt.matrixU().transpose() * cholnosqrt.vectorD().asDiagonal() * cholnosqrt.matrixU());
+  VERIFY_IS_APPROX(covMat * cholnosqrt.solve(b), b);
+
+  Cholesky<SquareMatrixType> chol(covMat);
+  VERIFY_IS_APPROX(covMat, chol.matrixU().transpose() * chol.matrixU());
+  VERIFY_IS_APPROX(covMat * chol.solve(b), b);
+}
+
+void EigenTest::testCholesky()
+{
+  for(int i = 0; i < 1; i++) {
+    cholesky(Matrix3f());
+    cholesky(Matrix4d());
+    cholesky(MatrixXd(17,17));
+  }
+}
+
+} // namespace Eigen