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New feature: add rank one update in Cholesky decomposition

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This commit is contained in:
Gael Guennebaud
2011-06-20 15:05:50 +02:00
parent a55c27a15f
commit 2f32e48517
2 changed files with 74 additions and 1 deletions
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23
test/cholesky.cpp
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@@ -166,6 +166,10 @@ template<typename MatrixType> void cholesky(const MatrixType& m)
VERIFY_EVALUATION_COUNT(matX = ldltup.solve(matX), 0);
VERIFY_IS_APPROX(matX, ldltup.solve(matB).eval());
}
// restore
if(sign == -1)
symm = -symm;
}
// test some special use cases of SelfCwiseBinaryOp:
@@ -182,6 +186,24 @@ template<typename MatrixType> void cholesky(const MatrixType& m)
m2 = m1;
m2.noalias() -= symmLo.template selfadjointView<Lower>().llt().solve(matB);
VERIFY_IS_APPROX(m2, m1 - symmLo.template selfadjointView<Lower>().llt().solve(matB));
// Cholesky update/downdate
{
MatrixType symmLo = symm.template triangularView<Lower>();
MatrixType symmUp = symm.template triangularView<Upper>();
VectorType vec = VectorType::Random(rows);
MatrixType symmCpy = symm + vec * vec.adjoint();
LLT<MatrixType,Lower> chollo(symmLo);
chollo.rankUpdate(vec);
VERIFY_IS_APPROX(symmCpy, chollo.reconstructedMatrix());
LLT<MatrixType,Upper> cholup(symmUp);
cholup.rankUpdate(vec);
VERIFY_IS_APPROX(symmCpy, cholup.reconstructedMatrix());
}
}
@@ -242,7 +264,6 @@ template<typename MatrixType> void cholesky_cplx(const MatrixType& m)
// matX = ldltlo.solve(matB);
// VERIFY_IS_APPROX(symm * matX, matB);
}
}
template<typename MatrixType> void cholesky_verify_assert()