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Fix incomplete cholesky.

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This commit is contained in:
Antonio Sánchez
2024-03-08 19:18:10 +00:00
committed by Rasmus Munk Larsen
parent f1adb0ccc2
commit 352ede96e4
3 changed files with 67 additions and 19 deletions
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20
test/incomplete_cholesky.cpp
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@@ -54,10 +54,28 @@ void bug1150() {
}
}
void test_non_spd() {
Eigen::SparseMatrix<double> A(2, 2);
A.insert(0, 0) = 0;
A.insert(1, 1) = 3;
Eigen::IncompleteCholesky<double> solver(A);
// Recover original matrix.
Eigen::MatrixXd M = solver.permutationP().transpose() *
(solver.scalingS().asDiagonal().inverse() *
(solver.matrixL() * solver.matrixL().transpose() -
solver.shift() * Eigen::MatrixXd::Identity(A.rows(), A.cols())) *
solver.scalingS().asDiagonal().inverse()) *
solver.permutationP();
VERIFY_IS_APPROX(A.toDense(), M);
}
EIGEN_DECLARE_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>()));
CALL_SUBTEST_1((bug1150<0>()));
CALL_SUBTEST_4((bug1150<0>()));
CALL_SUBTEST_4(test_non_spd());
}