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Add condition estimation to Cholesky (LLT) factorization.

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This commit is contained in:
Rasmus Munk Larsen
2016-04-01 16:19:45 -07:00
parent fb8dccc23e
commit f54137606e
4 changed files with 111 additions and 36 deletions
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10
test/lu.cpp
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@@ -151,10 +151,11 @@ template<typename MatrixType> void lu_invertible()
MatrixType m1_inverse = lu.inverse();
VERIFY_IS_APPROX(m2, m1_inverse*m3);
// Test condition number estimation.
// Verify that the estimated condition number is within a factor of 10 of the
// truth.
RealScalar rcond = (RealScalar(1) / matrix_l1_norm(m1)) / matrix_l1_norm(m1_inverse);
// Verify that the estimate is within a factor of 10 of the truth.
VERIFY(lu.rcond() > rcond / 10 && lu.rcond() < rcond * 10);
const RealScalar rcond_est = lu.rcond();
VERIFY(rcond_est > rcond / 10 && rcond_est < rcond * 10);
// test solve with transposed
lu.template _solve_impl_transposed<false>(m3, m2);
@@ -199,7 +200,8 @@ template<typename MatrixType> void lu_partial_piv()
// Test condition number estimation.
RealScalar rcond = (RealScalar(1) / matrix_l1_norm(m1)) / matrix_l1_norm(m1_inverse);
// Verify that the estimate is within a factor of 10 of the truth.
VERIFY(plu.rcond() > rcond / 10 && plu.rcond() < rcond * 10);
const RealScalar rcond_est = plu.rcond();
VERIFY(rcond_est > rcond / 10 && rcond_est < rcond * 10);
// test solve with transposed
plu.template _solve_impl_transposed<false>(m3, m2);