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bug #1150: make IncompleteCholesky more robust by iteratively increase the shift until the factorization succeed (with at most 10 attempts).

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This commit is contained in:
Gael Guennebaud
2016-01-23 22:13:54 +01:00
parent cb4e53ff7f
commit 0caa4b1531
2 changed files with 135 additions and 81 deletions
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30
test/incomplete_cholesky.cpp
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@@ -1,7 +1,7 @@
// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2015 Gael Guennebaud <gael.guennebaud@inria.fr>
// Copyright (C) 2015-2016 Gael Guennebaud <gael.guennebaud@inria.fr>
//
// This Source Code Form is subject to the terms of the Mozilla
// Public License v. 2.0. If a copy of the MPL was not distributed
@@ -34,4 +34,32 @@ void test_incomplete_cholesky()
CALL_SUBTEST_1(( test_incomplete_cholesky_T<double,int>() ));
CALL_SUBTEST_2(( test_incomplete_cholesky_T<std::complex<double>, int>() ));
CALL_SUBTEST_3(( test_incomplete_cholesky_T<double,long int>() ));
#ifdef EIGEN_TEST_PART_1
// regression for bug 1150
for(int N = 1; N<20; ++N)
{
Eigen::MatrixXd b( N, N );
b.setOnes();
Eigen::SparseMatrix<double> m( N, N );
m.reserve(Eigen::VectorXi::Constant(N,4));
for( int i = 0; i < N; ++i )
{
m.insert( i, i ) = 1;
m.coeffRef( i, i / 2 ) = 2;
m.coeffRef( i, i / 3 ) = 2;
m.coeffRef( i, i / 4 ) = 2;
}
Eigen::SparseMatrix<double> A;
A = m * m.transpose();
Eigen::ConjugateGradient<Eigen::SparseMatrix<double>,
Eigen::Lower | Eigen::Upper,
Eigen::IncompleteCholesky<double> > solver( A );
VERIFY(solver.preconditioner().info() == Eigen::Success);
VERIFY(solver.info() == Eigen::Success);
}
#endif
}