devtools/eigen
1
0
Fork 0
mirror of https://gitlab.com/libeigen/eigen.git synced 2026-04-10 11:34:33 +08:00
Code Issues Packages Projects Releases Wiki Activity

Use eigen methods for solving triangular systems. We loose again very

Browse Source 
slightly on both speed and precision on some tests.
This commit is contained in:
Thomas Capricelli
2010-01-25 11:34:52 +01:00
parent 92be7f461b
commit 9651e0c503
3 changed files with 31 additions and 60 deletions
Download Patch File Download Diff File Expand all files Collapse all files

46
unsupported/Eigen/src/NonLinearOptimization/lmpar.h
View File

@@ -199,23 +199,12 @@ void ei_lmpar2(
/* compute and store in x the gauss-newton direction. if the */
/* jacobian is rank-deficient, obtain a least squares solution. */
int nsing = n-1;
wa1 = qtb;
for (j = 0; j < n; ++j) {
if (qr.matrixQR()(j,j) == 0. && nsing == n-1)
nsing = j - 1;
if (nsing < n-1)
wa1[j] = 0.;
}
for (j = nsing; j>=0; --j) {
wa1[j] /= qr.matrixQR()(j,j);
temp = wa1[j];
for (i = 0; i < j ; ++i)
wa1[i] -= qr.matrixQR()(i,j) * temp;
}
// const int rank = qr.nonzeroPivots(); // exactly double(0.)
const int rank = qr.rank(); // use a threshold
wa1 = qtb; wa1.segment(rank,n-rank).setZero();
qr.matrixQR().corner(TopLeft, rank, rank).template triangularView<Upper>().solveInPlace(wa1.head(rank));
for (j = 0; j < n; ++j)
x[qr.colsPermutation().indices()(j)] = wa1[j];
x = qr.colsPermutation()*wa1;
/* initialize the iteration counter. */
/* evaluate the function at the origin, and test */
@@ -235,19 +224,12 @@ void ei_lmpar2(
/* the function. otherwise set this bound to zero. */
parl = 0.;
if (nsing >= n-1) {
if (rank==n) {
for (j = 0; j < n; ++j) {
l = qr.colsPermutation().indices()(j);
wa1[j] = diag[l] * (wa2[l] / dxnorm);
}
// it's actually a triangularView.solveInplace(), though in a weird
// way:
for (j = 0; j < n; ++j) {
Scalar sum = 0.;
for (i = 0; i < j; ++i)
sum += qr.matrixQR()(i,j) * wa1[i];
wa1[j] = (wa1[j] - sum) / qr.matrixQR()(j,j);
}
qr.matrixQR().corner(TopLeft, n, n).transpose().template triangularView<Lower>().solveInPlace(wa1);
temp = wa1.blueNorm();
parl = fp / delta / temp / temp;
}
@@ -272,7 +254,7 @@ void ei_lmpar2(
/* beginning of an iteration. */
Matrix< Scalar, Dynamic, Dynamic > r = qr.matrixQR(); // TODO : fixme
Matrix< Scalar, Dynamic, Dynamic > s = qr.matrixQR();
while (true) {
++iter;
@@ -284,7 +266,7 @@ void ei_lmpar2(
wa1 = ei_sqrt(par)* diag;
Matrix< Scalar, Dynamic, 1 > sdiag(n);
ei_qrsolv<Scalar>(r, qr.colsPermutation().indices(), wa1, qtb, x, sdiag);
ei_qrsolv<Scalar>(s, qr.colsPermutation().indices(), wa1, qtb, x, sdiag);
wa2 = diag.cwiseProduct(x);
dxnorm = wa2.blueNorm();
@@ -308,7 +290,7 @@ void ei_lmpar2(
wa1[j] /= sdiag[j];
temp = wa1[j];
for (i = j+1; i < n; ++i)
wa1[i] -= r(i,j) * temp;
wa1[i] -= s(i,j) * temp;
}
temp = wa1.blueNorm();
parc = fp / delta / temp / temp;
@@ -321,16 +303,8 @@ void ei_lmpar2(
paru = std::min(paru,par);
/* compute an improved estimate for par. */
/* Computing MAX */
par = std::max(parl,par+parc);
/* end of an iteration. */
}
/* termination. */
if (iter == 0)
par = 0.;
return;