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* added ei_sqrt for complex

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* updated Cholesky to support complex
* correct result_type for abs and abs2 functors
This commit is contained in:
Gael Guennebaud
2008-04-27 14:05:40 +00:00
parent 4ffffa670e
commit 64bacf1c3f
7 changed files with 98 additions and 64 deletions
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44
Eigen/src/Cholesky/Cholesky.h
View File

@@ -54,11 +54,6 @@ template<typename MatrixType> class Cholesky
compute(matrix);
}
Triangular<Upper, Temporary<Transpose<MatrixType> > > matrixU(void) const
{
return m_matrix.transpose().temporary().upper();
}
Triangular<Lower, MatrixType> matrixL(void) const
{
return m_matrix.lower();
@@ -88,24 +83,9 @@ void Cholesky<MatrixType>::compute(const MatrixType& matrix)
{
assert(matrix.rows()==matrix.cols());
const int size = matrix.rows();
m_matrix = matrix;
m_matrix = matrix.conjugate();
#if 1
// this version looks faster for large matrices
m_isPositiveDefinite = m_matrix(0,0) > Scalar(0);
m_matrix(0,0) = ei_sqrt(m_matrix(0,0));
m_matrix.col(0).end(size-1) = m_matrix.row(0).end(size-1) / m_matrix(0,0);
for (int j = 1; j < size; ++j)
{
Scalar tmp = m_matrix(j,j) - m_matrix.row(j).start(j).norm2();
m_isPositiveDefinite = m_isPositiveDefinite && tmp > Scalar(0);
m_matrix(j,j) = ei_sqrt(tmp<Scalar(0) ? Scalar(0) : tmp);
tmp = Scalar(1) / m_matrix(j,j);
for (int i = j+1; i < size; ++i)
m_matrix(i,j) = tmp * (m_matrix(j,i) -
(m_matrix.row(i).start(j) * m_matrix.row(j).start(j).transpose())(0,0) );
}
#else
#if 0
m_isPositiveDefinite = true;
for (int i = 0; i < size; ++i)
{
@@ -118,6 +98,23 @@ void Cholesky<MatrixType>::compute(const MatrixType& matrix)
m_matrix.col(j).end(size-j) -= m_matrix(j,i) * m_matrix.col(i).end(size-j);
}
}
#else
// this version looks faster for large matrices
// m_isPositiveDefinite = m_matrix(0,0) > Scalar(0);
m_matrix(0,0) = ei_sqrt(m_matrix(0,0));
m_matrix.col(0).end(size-1) = m_matrix.row(0).end(size-1) / m_matrix(0,0);
for (int j = 1; j < size; ++j)
{
// Scalar tmp = m_matrix(j,j) - m_matrix.row(j).start(j).norm2();
Scalar tmp = m_matrix(j,j) - (m_matrix.row(j).start(j) * m_matrix.row(j).start(j).adjoint())(0,0);
// m_isPositiveDefinite = m_isPositiveDefinite && tmp > Scalar(0);
// m_matrix(j,j) = ei_sqrt(tmp<Scalar(0) ? Scalar(0) : tmp);
m_matrix(j,j) = ei_sqrt(tmp);
tmp = 1. / m_matrix(j,j);
for (int i = j+1; i < size; ++i)
m_matrix(i,j) = tmp * (m_matrix(j,i) -
(m_matrix.row(i).start(j) * m_matrix.row(j).start(j).adjoint())(0,0) );
}
#endif
}
@@ -132,8 +129,7 @@ typename DerivedVec::Eval Cholesky<MatrixType>::solve(MatrixBase<DerivedVec> &ve
// FIXME .inverseProduct creates a temporary that is not nice since it is called twice
// add a .inverseProductInPlace ??
return m_matrix.transpose().upper()
.inverseProduct(m_matrix.lower().inverseProduct(vecB));
return m_matrix.adjoint().upper().inverseProduct(m_matrix.lower().inverseProduct(vecB));
}

21
Eigen/src/Cholesky/CholeskyWithoutSquareRoot.h
View File

@@ -55,12 +55,7 @@ template<typename MatrixType> class CholeskyWithoutSquareRoot
compute(matrix);
}
Triangular<Upper|UnitDiagBit, Temporary<Transpose<MatrixType> > > matrixU(void) const
{
return m_matrix.transpose().temporary().upperWithUnitDiag();
}
Triangular<Upper|UnitDiagBit, MatrixType > matrixL(void) const
Triangular<Lower|UnitDiagBit, MatrixType > matrixL(void) const
{
return m_matrix.lowerWithUnitDiag();
}
@@ -78,7 +73,7 @@ template<typename MatrixType> class CholeskyWithoutSquareRoot
template<typename DerivedVec>
typename DerivedVec::Eval solve(MatrixBase<DerivedVec> &vecB);
/** Compute the Cholesky decomposition A = U'DU = LDL' of \a matrix
/** Compute / recompute the Cholesky decomposition A = U'DU = LDL' of \a matrix
*/
void compute(const MatrixType& matrix);
@@ -97,7 +92,7 @@ void CholeskyWithoutSquareRoot<MatrixType>::compute(const MatrixType& matrix)
{
assert(matrix.rows()==matrix.cols());
const int size = matrix.rows();
m_matrix = matrix;
m_matrix = matrix.conjugate();
#if 0
for (int i = 0; i < size; ++i)
{
@@ -113,12 +108,12 @@ void CholeskyWithoutSquareRoot<MatrixType>::compute(const MatrixType& matrix)
m_matrix.col(0).end(size-1) = m_matrix.row(0).end(size-1) / m_matrix(0,0);
for (int j = 1; j < size; ++j)
{
Scalar tmp = m_matrix(j,j) - (m_matrix.row(j).start(j) * m_matrix.col(j).start(j))(0,0);
Scalar tmp = m_matrix(j,j) - (m_matrix.row(j).start(j) * m_matrix.col(j).start(j).conjugate())(0,0);
m_matrix(j,j) = tmp;
tmp = Scalar(1) / tmp;
for (int i = j+1; i < size; ++i)
{
m_matrix(j,i) = (m_matrix(j,i) - (m_matrix.row(i).start(j) * m_matrix.col(j).start(j))(0,0) );
m_matrix(j,i) = (m_matrix(j,i) - (m_matrix.row(i).start(j) * m_matrix.col(j).start(j).conjugate())(0,0) );
m_matrix(i,j) = tmp * m_matrix(j,i);
}
}
@@ -136,12 +131,16 @@ typename DerivedVec::Eval CholeskyWithoutSquareRoot<MatrixType>::solve(MatrixBas
// FIXME .inverseProduct creates a temporary that is not nice since it is called twice
// maybe add a .inverseProductInPlace() ??
return m_matrix.transpose().upperWithUnitDiag()
return m_matrix.adjoint().upperWithUnitDiag()
.inverseProduct(
(m_matrix.lowerWithUnitDiag()
.inverseProduct(vecB))
.cwiseQuotient(m_matrix.diagonal())
);
// return m_matrix.adjoint().upperWithUnitDiag()
// .inverseProduct(
// (m_matrix.lowerWithUnitDiag() * (m_matrix.diagonal().asDiagonal())).lower().inverseProduct(vecB));
}