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Solve the issue found by Timothy in solveTriangular:

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=> row-major rhs are now evaluated to a column-major
     temporary before the computations.
Add solveInPlace in Cholesky*
This commit is contained in:
Gael Guennebaud
2008-10-13 13:14:43 +00:00
parent 537a0e0a52
commit e2bd8623f8
9 changed files with 129 additions and 45 deletions
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34
Eigen/src/Cholesky/Cholesky.h
View File

@@ -74,6 +74,9 @@ template<typename MatrixType> class Cholesky
template<typename Derived>
typename Derived::Eval solve(const MatrixBase<Derived> &b) const;
template<typename Derived>
bool solveInPlace(MatrixBase<Derived> &bAndX) const;
void compute(const MatrixType& matrix);
protected:
@@ -141,8 +144,37 @@ typename Derived::Eval Cholesky<MatrixType>::solve(const MatrixBase<Derived> &b)
{
const int size = m_matrix.rows();
ei_assert(size==b.rows());
typename ei_eval_to_column_major<Derived>::type x(b);
solveInPlace(x);
return x;
//return m_matrix.adjoint().template part<Upper>().solveTriangular(matrixL().solveTriangular(b));
}
return m_matrix.adjoint().template part<Upper>().solveTriangular(matrixL().solveTriangular(b));
/** Computes the solution x of \f$ A x = b \f$ using the current decomposition of A.
* The result is stored in \a bAndx
*
* \returns true in case of success, false otherwise.
*
* In other words, it computes \f$ b = A^{-1} b \f$ with
* \f$ {L^{*}}^{-1} L^{-1} b \f$ from right to left.
* \param bAndX stores both the matrix \f$ b \f$ and the result \f$ x \f$
*
* Example: \include Cholesky_solve.cpp
* Output: \verbinclude Cholesky_solve.out
*
* \sa MatrixBase::cholesky(), Cholesky::solve()
*/
template<typename MatrixType>
template<typename Derived>
bool Cholesky<MatrixType>::solveInPlace(MatrixBase<Derived> &bAndX) const
{
const int size = m_matrix.rows();
ei_assert(size==bAndX.rows());
if (!m_isPositiveDefinite)
return false;
matrixL().solveTriangularInPlace(bAndX);
m_matrix.adjoint().template part<Upper>().solveTriangularInPlace(bAndX);
return true;
}
/** \cholesky_module

37
Eigen/src/Cholesky/CholeskyWithoutSquareRoot.h
View File

@@ -71,6 +71,9 @@ template<typename MatrixType> class CholeskyWithoutSquareRoot
template<typename Derived>
typename Derived::Eval solve(const MatrixBase<Derived> &b) const;
template<typename Derived>
bool solveInPlace(MatrixBase<Derived> &bAndX) const;
void compute(const MatrixType& matrix);
protected:
@@ -101,7 +104,7 @@ void CholeskyWithoutSquareRoot<MatrixType>::compute(const MatrixType& a)
m_matrix = a;
return;
}
// Let's preallocate a temporay vector to evaluate the matrix-vector product into it.
// Unlike the standard Cholesky decomposition, here we cannot evaluate it to the destination
// matrix because it a sub-row which is not compatible suitable for efficient packet evaluation.
@@ -144,8 +147,8 @@ void CholeskyWithoutSquareRoot<MatrixType>::compute(const MatrixType& a)
* \param b the column vector \f$ b \f$, which can also be a matrix.
*
* See Cholesky::solve() for a example.
*
* \sa MatrixBase::choleskyNoSqrt()
*
* \sa CholeskyWithoutSquareRoot::solveInPlace(), MatrixBase::choleskyNoSqrt()
*/
template<typename MatrixType>
template<typename Derived>
@@ -161,6 +164,34 @@ typename Derived::Eval CholeskyWithoutSquareRoot<MatrixType>::solve(const Matrix
);
}
/** Computes the solution x of \f$ A x = b \f$ using the current decomposition of A.
* The result is stored in \a bAndx
*
* \returns true in case of success, false otherwise.
*
* In other words, it computes \f$ b = A^{-1} b \f$ with
* \f$ {L^{*}}^{-1} D^{-1} L^{-1} b \f$ from right to left.
* \param bAndX stores both the matrix \f$ b \f$ and the result \f$ x \f$
*
* Example: \include Cholesky_solve.cpp
* Output: \verbinclude Cholesky_solve.out
*
* \sa MatrixBase::cholesky(), CholeskyWithoutSquareRoot::solve()
*/
template<typename MatrixType>
template<typename Derived>
bool CholeskyWithoutSquareRoot<MatrixType>::solveInPlace(MatrixBase<Derived> &bAndX) const
{
const int size = m_matrix.rows();
ei_assert(size==bAndX.rows());
if (!m_isPositiveDefinite)
return false;
matrixL().solveTriangularInPlace(bAndX);
bAndX *= m_matrix.cwise().inverse().template part<Diagonal>();
m_matrix.adjoint().template part<UnitUpper>().solveTriangularInPlace(bAndX);
return true;
}
/** \cholesky_module
* \returns the Cholesky decomposition without square root of \c *this
*/