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Add a NNLS solver to unsupported - issue #655

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Essex Edwards
2022-03-23 20:20:44 +00:00
committed by Rasmus Munk Larsen
parent 0699fa06fe
commit cd3c81c3bc
6 changed files with 988 additions and 0 deletions
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38
Eigen/src/QR/HouseholderQR.h
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@@ -296,6 +296,44 @@ void householder_qr_inplace_unblocked(MatrixQR& mat, HCoeffs& hCoeffs, typename
}
}
// TODO: add a corresponding public API for updating a QR factorization
/** \internal
* Basically a modified copy of @c Eigen::internal::householder_qr_inplace_unblocked that
* performs a rank-1 update of the QR matrix in compact storage. This function assumes, that
* the first @c k-1 columns of the matrix @c mat contain the QR decomposition of \f$A^N\f$ up to
* column k-1. Then the QR decomposition of the k-th column (given by @c newColumn) is computed by
* applying the k-1 Householder projectors on it and finally compute the projector \f$H_k\f$ of
* it. On exit the matrix @c mat and the vector @c hCoeffs contain the QR decomposition of the
* first k columns of \f$A^N\f$. The \a tempData argument must point to at least mat.cols() scalars. */
template <typename MatrixQR, typename HCoeffs, typename VectorQR>
void householder_qr_inplace_update(MatrixQR& mat, HCoeffs& hCoeffs, const VectorQR& newColumn,
typename MatrixQR::Index k, typename MatrixQR::Scalar* tempData) {
typedef typename MatrixQR::Index Index;
typedef typename MatrixQR::Scalar Scalar;
typedef typename MatrixQR::RealScalar RealScalar;
Index rows = mat.rows();
eigen_assert(k < mat.cols());
eigen_assert(k < rows);
eigen_assert(hCoeffs.size() == mat.cols());
eigen_assert(newColumn.size() == rows);
eigen_assert(tempData);
// Store new column in mat at column k
mat.col(k) = newColumn;
// Apply H = H_1...H_{k-1} on newColumn (skip if k=0)
for (Index i = 0; i < k; ++i) {
Index remainingRows = rows - i;
mat.col(k)
.tail(remainingRows)
.applyHouseholderOnTheLeft(mat.col(i).tail(remainingRows - 1), hCoeffs.coeffRef(i), tempData + i + 1);
}
// Construct Householder projector in-place in column k
RealScalar beta;
mat.col(k).tail(rows - k).makeHouseholderInPlace(hCoeffs.coeffRef(k), beta);
mat.coeffRef(k, k) = beta;
}
/** \internal */
template<typename MatrixQR, typename HCoeffs,
typename MatrixQRScalar = typename MatrixQR::Scalar,