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LLT: improve rankUpdate to support downdates,

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LDLT: add the missing info() function,
improve unit testing of rankUpdate()
This commit is contained in:
Gael Guennebaud
2012-01-23 17:28:23 +01:00
parent 039408cd66
commit ee9f3e34b0
3 changed files with 118 additions and 59 deletions
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70
test/cholesky.cpp
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@@ -41,6 +41,38 @@ static int nb_temporaries;
VERIFY( (#XPR) && nb_temporaries==N ); \
}
template<typename MatrixType,template <typename,int> class CholType> void test_chol_update(const MatrixType& symm)
{
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::RealScalar RealScalar;
typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, 1> VectorType;
MatrixType symmLo = symm.template triangularView<Lower>();
MatrixType symmUp = symm.template triangularView<Upper>();
MatrixType symmCpy = symm;
CholType<MatrixType,Lower> chollo(symmLo);
CholType<MatrixType,Upper> cholup(symmUp);
for (int k=0; k<10; ++k)
{
VectorType vec = VectorType::Random(symm.rows());
RealScalar sigma = internal::random<RealScalar>();
symmCpy += sigma * vec * vec.adjoint();
// we are doing some downdates, so it might be the case that the matrix is not SPD anymore
CholType<MatrixType,Lower> chol(symmCpy);
if(chol.info()!=Success)
break;
chollo.rankUpdate(vec, sigma);
VERIFY_IS_APPROX(symmCpy, chollo.reconstructedMatrix());
cholup.rankUpdate(vec, sigma);
VERIFY_IS_APPROX(symmCpy, cholup.reconstructedMatrix());
}
}
template<typename MatrixType> void cholesky(const MatrixType& m)
{
typedef typename MatrixType::Index Index;
@@ -155,41 +187,9 @@ template<typename MatrixType> void cholesky(const MatrixType& m)
m2.noalias() -= symmLo.template selfadjointView<Lower>().llt().solve(matB);
VERIFY_IS_APPROX(m2, m1 - symmLo.template selfadjointView<Lower>().llt().solve(matB));
// LLT update/downdate
{
MatrixType symmLo = symm.template triangularView<Lower>();
MatrixType symmUp = symm.template triangularView<Upper>();
VectorType vec = VectorType::Random(rows);
MatrixType symmCpy = symm + vec * vec.adjoint();
LLT<MatrixType,Lower> chollo(symmLo);
chollo.rankUpdate(vec);
VERIFY_IS_APPROX(symmCpy, chollo.reconstructedMatrix());
LLT<MatrixType,Upper> cholup(symmUp);
cholup.rankUpdate(vec);
VERIFY_IS_APPROX(symmCpy, cholup.reconstructedMatrix());
}
// LDLT update/downdate
{
MatrixType symmLo = symm.template triangularView<Lower>();
MatrixType symmUp = symm.template triangularView<Upper>();
VectorType vec = VectorType::Random(rows);
MatrixType symmCpy = symm + vec * vec.adjoint();
LDLT<MatrixType,Lower> chollo(symmLo);
chollo.rankUpdate(vec);
VERIFY_IS_APPROX(symmCpy, chollo.reconstructedMatrix());
LDLT<MatrixType,Upper> cholup(symmUp);
cholup.rankUpdate(vec);
VERIFY_IS_APPROX(symmCpy, cholup.reconstructedMatrix());
}
// update/downdate
CALL_SUBTEST(( test_chol_update<SquareMatrixType,LLT>(symm) ));
CALL_SUBTEST(( test_chol_update<SquareMatrixType,LDLT>(symm) ));
}
template<typename MatrixType> void cholesky_cplx(const MatrixType& m)