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Remove early termination in LDLT: the zero on the diagonal of the input matrix does not mean the matrix is not full rank. Typical examples are matrices coming from LS with linear equality constraints.

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Gael Guennebaud
2014-02-26 10:12:27 +01:00
parent 6b6071866b
commit ac69d8769f
2 changed files with 36 additions and 10 deletions
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32
test/cholesky.cpp
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@@ -179,6 +179,38 @@ template<typename MatrixType> void cholesky(const MatrixType& m)
// restore
if(sign == -1)
symm = -symm;
// check matrices coming from linear constraints with Lagrange multipliers
if(rows>=3)
{
SquareMatrixType A = symm;
int c = internal::random<int>(0,rows-2);
A.bottomRightCorner(c,c).setZero();
// Make sure a solution exists:
vecX.setRandom();
vecB = A * vecX;
vecX.setZero();
ldltlo.compute(A);
VERIFY_IS_APPROX(A, ldltlo.reconstructedMatrix());
vecX = ldltlo.solve(vecB);
VERIFY_IS_APPROX(A * vecX, vecB);
}
// check non-full rank matrices
if(rows>=3)
{
int r = internal::random<int>(1,rows-1);
Matrix<Scalar,Dynamic,Dynamic> a = Matrix<Scalar,Dynamic,Dynamic>::Random(rows,r);
SquareMatrixType A = a * a.adjoint();
// Make sure a solution exists:
vecX.setRandom();
vecB = A * vecX;
vecX.setZero();
ldltlo.compute(A);
VERIFY_IS_APPROX(A, ldltlo.reconstructedMatrix());
vecX = ldltlo.solve(vecB);
VERIFY_IS_APPROX(A * vecX, vecB);
}
}
// update/downdate