add a support module for MPFR C++ with basic unit testing

unsupported/test/mpreal_support.cpp

@@ -0,0 +1,42 @@
+#include "main.h"
+#include <Eigen/MPRealSupport>
+
+using namespace mpfr;
+using namespace std;
+using namespace Eigen;
+
+void test_mpreal_support()
+{
+  // set precision to 256 bits (double has only 53 bits)
+  mpreal::set_default_prec(256);
+  typedef Matrix<mpreal,Eigen::Dynamic,Eigen::Dynamic> MatrixXmp;
+
+  std::cerr << "epsilon =         " << NumTraits<mpreal>::epsilon() << "\n";
+  std::cerr << "dummy_precision = " << NumTraits<mpreal>::dummy_precision() << "\n";
+  std::cerr << "highest =         " << NumTraits<mpreal>::highest() << "\n";
+  std::cerr << "lowest =          " << NumTraits<mpreal>::lowest() << "\n";
+
+  for(int i = 0; i < g_repeat; i++) {
+    int s = ei_random<int>(1,100);
+    MatrixXmp A = MatrixXmp::Random(s,s);
+    MatrixXmp B = MatrixXmp::Random(s,s);
+    MatrixXmp S = A.adjoint() * A;
+    MatrixXmp X;
+
+    // Cholesky
+    X = S.selfadjointView<Lower>().llt().solve(B);
+    VERIFY_IS_APPROX((S.selfadjointView<Lower>()*X).eval(),B);
+
+    // partial LU
+    X = A.lu().solve(B);
+    VERIFY_IS_APPROX((A*X).eval(),B);
+
+    // symmetric eigenvalues
+    SelfAdjointEigenSolver<MatrixXmp> eig(S);
+    VERIFY_IS_EQUAL(eig.info(), Success);
+    VERIFY_IS_APPROX((S.selfadjointView<Lower>() * eig.eigenvectors()),
+                      eig.eigenvectors() * eig.eigenvalues().asDiagonal());
+  }
+}
+
+#include "mpreal.cpp"