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add blocked LLT, and bugfix in trsm asserts

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This commit is contained in:
Gael Guennebaud
2009-08-01 23:42:51 +02:00
parent 18429156a1
commit 48fc64458c
4 changed files with 119 additions and 111 deletions
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77
test/cholesky.cpp
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@@ -49,52 +49,58 @@ template<typename MatrixType> void cholesky(const MatrixType& m)
MatrixType matB = MatrixType::Random(rows,cols), matX(rows,cols);
SquareMatrixType symm = a0 * a0.adjoint();
// let's make sure the matrix is not singular or near singular
MatrixType a1 = MatrixType::Random(rows,cols);
symm += a1 * a1.adjoint();
for (int k=0; k<3; ++k)
{
MatrixType a1 = MatrixType::Random(rows,cols);
symm += a1 * a1.adjoint();
}
SquareMatrixType symmUp = symm.template triangularView<UpperTriangular>();
SquareMatrixType symmLo = symm.template triangularView<LowerTriangular>();
// to test if really Cholesky only uses the upper triangular part, uncomment the following
// FIXME: currently that fails !!
//symm.template part<StrictlyLowerTriangular>().setZero();
#ifdef HAS_GSL
if (ei_is_same_type<RealScalar,double>::ret)
{
typedef GslTraits<Scalar> Gsl;
typename Gsl::Matrix gMatA=0, gSymm=0;
typename Gsl::Vector gVecB=0, gVecX=0;
convert<MatrixType>(symm, gSymm);
convert<MatrixType>(symm, gMatA);
convert<VectorType>(vecB, gVecB);
convert<VectorType>(vecB, gVecX);
Gsl::cholesky(gMatA);
Gsl::cholesky_solve(gMatA, gVecB, gVecX);
VectorType vecX(rows), _vecX, _vecB;
convert(gVecX, _vecX);
symm.llt().solve(vecB, &vecX);
Gsl::prod(gSymm, gVecX, gVecB);
convert(gVecB, _vecB);
// test gsl itself !
VERIFY_IS_APPROX(vecB, _vecB);
VERIFY_IS_APPROX(vecX, _vecX);
Gsl::free(gMatA);
Gsl::free(gSymm);
Gsl::free(gVecB);
Gsl::free(gVecX);
}
// if (ei_is_same_type<RealScalar,double>::ret)
// {
// typedef GslTraits<Scalar> Gsl;
// typename Gsl::Matrix gMatA=0, gSymm=0;
// typename Gsl::Vector gVecB=0, gVecX=0;
// convert<MatrixType>(symm, gSymm);
// convert<MatrixType>(symm, gMatA);
// convert<VectorType>(vecB, gVecB);
// convert<VectorType>(vecB, gVecX);
// Gsl::cholesky(gMatA);
// Gsl::cholesky_solve(gMatA, gVecB, gVecX);
// VectorType vecX(rows), _vecX, _vecB;
// convert(gVecX, _vecX);
// symm.llt().solve(vecB, &vecX);
// Gsl::prod(gSymm, gVecX, gVecB);
// convert(gVecB, _vecB);
// // test gsl itself !
// VERIFY_IS_APPROX(vecB, _vecB);
// VERIFY_IS_APPROX(vecX, _vecX);
//
// Gsl::free(gMatA);
// Gsl::free(gSymm);
// Gsl::free(gVecB);
// Gsl::free(gVecX);
// }
#endif
{
LLT<SquareMatrixType> chol(symm);
VERIFY_IS_APPROX(symm, chol.matrixL().toDense() * chol.matrixL().adjoint().toDense());
chol.solve(vecB, &vecX);
LLT<SquareMatrixType,LowerTriangular> chollo(symmLo);
VERIFY_IS_APPROX(symm, chollo.matrixL().toDense() * chollo.matrixL().adjoint().toDense());
chollo.solve(vecB, &vecX);
VERIFY_IS_APPROX(symm * vecX, vecB);
chol.solve(matB, &matX);
chollo.solve(matB, &matX);
VERIFY_IS_APPROX(symm * matX, matB);
// test the upper mode
LLT<SquareMatrixType,UpperTriangular> cholup(symm);
VERIFY_IS_APPROX(symm, cholup.matrixL().toDense() * chol.matrixL().adjoint().toDense());
LLT<SquareMatrixType,UpperTriangular> cholup(symmUp);
VERIFY_IS_APPROX(symm, cholup.matrixL().toDense() * cholup.matrixL().adjoint().toDense());
cholup.solve(vecB, &vecX);
VERIFY_IS_APPROX(symm * vecX, vecB);
cholup.solve(matB, &matX);
@@ -147,9 +153,8 @@ void test_cholesky()
CALL_SUBTEST( cholesky(Matrix2d()) );
CALL_SUBTEST( cholesky(Matrix3f()) );
CALL_SUBTEST( cholesky(Matrix4d()) );
CALL_SUBTEST( cholesky(MatrixXcd(7,7)) );
CALL_SUBTEST( cholesky(MatrixXd(17,17)) );
CALL_SUBTEST( cholesky(MatrixXf(200,200)) );
CALL_SUBTEST( cholesky(MatrixXcd(100,100)) );
CALL_SUBTEST( cholesky(MatrixXd(200,200)) );
}
CALL_SUBTEST( cholesky_verify_assert<Matrix3f>() );