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// This file is part of Eigen, a lightweight C++ template library
// for linear algebra.
//
// Copyright (C) 2008-2011 Gael Guennebaud <gael.guennebaud@inria.fr>
// Copyright (C) 2009 Keir Mierle <mierle@gmail.com>
// Copyright (C) 2009 Benoit Jacob <jacob.benoit.1@gmail.com>
// Copyright (C) 2011 Timothy E. Holy <tim.holy@gmail.com >
//
// This Source Code Form is subject to the terms of the Mozilla
// Public License v. 2.0. If a copy of the MPL was not distributed
// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
#ifndef EIGEN_LDLT_H
#define EIGEN_LDLT_H
#include "./InternalHeaderCheck.h"
namespace Eigen {
namespace internal {
template<typename MatrixType_, int UpLo_> struct traits<LDLT<MatrixType_, UpLo_> >
: traits<MatrixType_>
{
typedef MatrixXpr XprKind;
typedef SolverStorage StorageKind;
typedef int StorageIndex;
enum { Flags = 0 };
};
template<typename MatrixType, int UpLo> struct LDLT_Traits;
// PositiveSemiDef means positive semi-definite and non-zero; same for NegativeSemiDef
enum SignMatrix { PositiveSemiDef, NegativeSemiDef, ZeroSign, Indefinite };
}
/** \ingroup Cholesky_Module
*
* \class LDLT
*
* \brief Robust Cholesky decomposition of a matrix with pivoting
*
* \tparam MatrixType_ the type of the matrix of which to compute the LDL^T Cholesky decomposition
* \tparam UpLo_ the triangular part that will be used for the decomposition: Lower (default) or Upper.
* The other triangular part won't be read.
*
* Perform a robust Cholesky decomposition of a positive semidefinite or negative semidefinite
* matrix \f$ A \f$ such that \f$ A = P^TLDL^*P \f$, where P is a permutation matrix, L
* is lower triangular with a unit diagonal and D is a diagonal matrix.
*
* The decomposition uses pivoting to ensure stability, so that D will have
* zeros in the bottom right rank(A) - n submatrix. Avoiding the square root
* on D also stabilizes the computation.
*
* Remember that Cholesky decompositions are not rank-revealing. Also, do not use a Cholesky
* decomposition to determine whether a system of equations has a solution.
*
* This class supports the \link InplaceDecomposition inplace decomposition \endlink mechanism.
*
* \sa MatrixBase::ldlt(), SelfAdjointView::ldlt(), class LLT
*/
template<typename MatrixType_, int UpLo_> class LDLT
: public SolverBase<LDLT<MatrixType_, UpLo_> >
{
public:
typedef MatrixType_ MatrixType;
typedef SolverBase<LDLT> Base;
friend class SolverBase<LDLT>;
EIGEN_GENERIC_PUBLIC_INTERFACE(LDLT)
enum {
MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
UpLo = UpLo_
};
typedef Matrix<Scalar, RowsAtCompileTime, 1, 0, MaxRowsAtCompileTime, 1> TmpMatrixType;
typedef Transpositions<RowsAtCompileTime, MaxRowsAtCompileTime> TranspositionType;
typedef PermutationMatrix<RowsAtCompileTime, MaxRowsAtCompileTime> PermutationType;
typedef internal::LDLT_Traits<MatrixType,UpLo> Traits;
/** \brief Default Constructor.
*
* The default constructor is useful in cases in which the user intends to
* perform decompositions via LDLT::compute(const MatrixType&).
*/
LDLT()
: m_matrix(),
m_transpositions(),
m_sign(internal::ZeroSign),
m_isInitialized(false)
{}
/** \brief Default Constructor with memory preallocation
*
* Like the default constructor but with preallocation of the internal data
* according to the specified problem \a size.
* \sa LDLT()
*/
explicit LDLT(Index size)
: m_matrix(size, size),
m_transpositions(size),
m_temporary(size),
m_sign(internal::ZeroSign),
m_isInitialized(false)
{}
/** \brief Constructor with decomposition
*
* This calculates the decomposition for the input \a matrix.
*
* \sa LDLT(Index size)
*/
template<typename InputType>
explicit LDLT(const EigenBase<InputType>& matrix)
: m_matrix(matrix.rows(), matrix.cols()),
m_transpositions(matrix.rows()),
m_temporary(matrix.rows()),
m_sign(internal::ZeroSign),
m_isInitialized(false)
{
compute(matrix.derived());
}
/** \brief Constructs a LDLT factorization from a given matrix
*
* This overloaded constructor is provided for \link InplaceDecomposition inplace decomposition \endlink when \c MatrixType is a Eigen::Ref.
*
* \sa LDLT(const EigenBase&)
*/
template<typename InputType>
explicit LDLT(EigenBase<InputType>& matrix)
: m_matrix(matrix.derived()),
m_transpositions(matrix.rows()),
m_temporary(matrix.rows()),
m_sign(internal::ZeroSign),
m_isInitialized(false)
{
compute(matrix.derived());
}
/** Clear any existing decomposition
* \sa rankUpdate(w,sigma)
*/
void setZero()
{
m_isInitialized = false;
}
/** \returns a view of the upper triangular matrix U */
inline typename Traits::MatrixU matrixU() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return Traits::getU(m_matrix);
}
/** \returns a view of the lower triangular matrix L */
inline typename Traits::MatrixL matrixL() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return Traits::getL(m_matrix);
}
/** \returns the permutation matrix P as a transposition sequence.
*/
inline const TranspositionType& transpositionsP() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_transpositions;
}
/** \returns the coefficients of the diagonal matrix D */
inline Diagonal<const MatrixType> vectorD() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_matrix.diagonal();
}
/** \returns true if the matrix is positive (semidefinite) */
inline bool isPositive() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_sign == internal::PositiveSemiDef || m_sign == internal::ZeroSign;
}
/** \returns true if the matrix is negative (semidefinite) */
inline bool isNegative(void) const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_sign == internal::NegativeSemiDef || m_sign == internal::ZeroSign;
}
#ifdef EIGEN_PARSED_BY_DOXYGEN
/** \returns a solution x of \f$ A x = b \f$ using the current decomposition of A.
*
* This function also supports in-place solves using the syntax <tt>x = decompositionObject.solve(x)</tt> .
*
* \note_about_checking_solutions
*
* More precisely, this method solves \f$ A x = b \f$ using the decomposition \f$ A = P^T L D L^* P \f$
* by solving the systems \f$ P^T y_1 = b \f$, \f$ L y_2 = y_1 \f$, \f$ D y_3 = y_2 \f$,
* \f$ L^* y_4 = y_3 \f$ and \f$ P x = y_4 \f$ in succession. If the matrix \f$ A \f$ is singular, then
* \f$ D \f$ will also be singular (all the other matrices are invertible). In that case, the
* least-square solution of \f$ D y_3 = y_2 \f$ is computed. This does not mean that this function
* computes the least-square solution of \f$ A x = b \f$ if \f$ A \f$ is singular.
*
* \sa MatrixBase::ldlt(), SelfAdjointView::ldlt()
*/
template<typename Rhs>
inline const Solve<LDLT, Rhs>
solve(const MatrixBase<Rhs>& b) const;
#endif
template<typename Derived>
bool solveInPlace(MatrixBase<Derived> &bAndX) const;
template<typename InputType>
LDLT& compute(const EigenBase<InputType>& matrix);
/** \returns an estimate of the reciprocal condition number of the matrix of
* which \c *this is the LDLT decomposition.
*/
RealScalar rcond() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return internal::rcond_estimate_helper(m_l1_norm, *this);
}
template <typename Derived>
LDLT& rankUpdate(const MatrixBase<Derived>& w, const RealScalar& alpha=1);
/** \returns the internal LDLT decomposition matrix
*
* TODO: document the storage layout
*/
inline const MatrixType& matrixLDLT() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_matrix;
}
MatrixType reconstructedMatrix() const;
/** \returns the adjoint of \c *this, that is, a const reference to the decomposition itself as the underlying matrix is self-adjoint.
*
* This method is provided for compatibility with other matrix decompositions, thus enabling generic code such as:
* \code x = decomposition.adjoint().solve(b) \endcode
*/
const LDLT& adjoint() const { return *this; }
EIGEN_DEVICE_FUNC inline EIGEN_CONSTEXPR Index rows() const EIGEN_NOEXCEPT { return m_matrix.rows(); }
EIGEN_DEVICE_FUNC inline EIGEN_CONSTEXPR Index cols() const EIGEN_NOEXCEPT { return m_matrix.cols(); }
/** \brief Reports whether previous computation was successful.
*
* \returns \c Success if computation was successful,
* \c NumericalIssue if the factorization failed because of a zero pivot.
*/
ComputationInfo info() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
return m_info;
}
#ifndef EIGEN_PARSED_BY_DOXYGEN
template<typename RhsType, typename DstType>
void _solve_impl(const RhsType &rhs, DstType &dst) const;
template<bool Conjugate, typename RhsType, typename DstType>
void _solve_impl_transposed(const RhsType &rhs, DstType &dst) const;
#endif
protected:
EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar)
/** \internal
* Used to compute and store the Cholesky decomposition A = L D L^* = U^* D U.
* The strict upper part is used during the decomposition, the strict lower
* part correspond to the coefficients of L (its diagonal is equal to 1 and
* is not stored), and the diagonal entries correspond to D.
*/
MatrixType m_matrix;
RealScalar m_l1_norm;
TranspositionType m_transpositions;
TmpMatrixType m_temporary;
internal::SignMatrix m_sign;
bool m_isInitialized;
ComputationInfo m_info;
};
namespace internal {
template<int UpLo> struct ldlt_inplace;
template<> struct ldlt_inplace<Lower>
{
template<typename MatrixType, typename TranspositionType, typename Workspace>
static bool unblocked(MatrixType& mat, TranspositionType& transpositions, Workspace& temp, SignMatrix& sign)
{
using std::abs;
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::RealScalar RealScalar;
typedef typename TranspositionType::StorageIndex IndexType;
eigen_assert(mat.rows()==mat.cols());
const Index size = mat.rows();
bool found_zero_pivot = false;
bool ret = true;
if (size <= 1)
{
transpositions.setIdentity();
if(size==0) sign = ZeroSign;
else if (numext::real(mat.coeff(0,0)) > static_cast<RealScalar>(0) ) sign = PositiveSemiDef;
else if (numext::real(mat.coeff(0,0)) < static_cast<RealScalar>(0)) sign = NegativeSemiDef;
else sign = ZeroSign;
return true;
}
for (Index k = 0; k < size; ++k)
{
// Find largest diagonal element
Index index_of_biggest_in_corner;
mat.diagonal().tail(size-k).cwiseAbs().maxCoeff(&index_of_biggest_in_corner);
index_of_biggest_in_corner += k;
transpositions.coeffRef(k) = IndexType(index_of_biggest_in_corner);
if(k != index_of_biggest_in_corner)
{
// apply the transposition while taking care to consider only
// the lower triangular part
Index s = size-index_of_biggest_in_corner-1; // trailing size after the biggest element
mat.row(k).head(k).swap(mat.row(index_of_biggest_in_corner).head(k));
mat.col(k).tail(s).swap(mat.col(index_of_biggest_in_corner).tail(s));
std::swap(mat.coeffRef(k,k),mat.coeffRef(index_of_biggest_in_corner,index_of_biggest_in_corner));
for(Index i=k+1;i<index_of_biggest_in_corner;++i)
{
Scalar tmp = mat.coeffRef(i,k);
mat.coeffRef(i,k) = numext::conj(mat.coeffRef(index_of_biggest_in_corner,i));
mat.coeffRef(index_of_biggest_in_corner,i) = numext::conj(tmp);
}
if(NumTraits<Scalar>::IsComplex)
mat.coeffRef(index_of_biggest_in_corner,k) = numext::conj(mat.coeff(index_of_biggest_in_corner,k));
}
// partition the matrix:
// A00 | - | -
// lu = A10 | A11 | -
// A20 | A21 | A22
Index rs = size - k - 1;
Block<MatrixType,Dynamic,1> A21(mat,k+1,k,rs,1);
Block<MatrixType,1,Dynamic> A10(mat,k,0,1,k);
Block<MatrixType,Dynamic,Dynamic> A20(mat,k+1,0,rs,k);
if(k>0)
{
temp.head(k) = mat.diagonal().real().head(k).asDiagonal() * A10.adjoint();
mat.coeffRef(k,k) -= (A10 * temp.head(k)).value();
if(rs>0)
A21.noalias() -= A20 * temp.head(k);
}
// In some previous versions of Eigen (e.g., 3.2.1), the scaling was omitted if the pivot
// was smaller than the cutoff value. However, since LDLT is not rank-revealing
// we should only make sure that we do not introduce INF or NaN values.
// Remark that LAPACK also uses 0 as the cutoff value.
RealScalar realAkk = numext::real(mat.coeffRef(k,k));
bool pivot_is_valid = (abs(realAkk) > RealScalar(0));
if(k==0 && !pivot_is_valid)
{
// The entire diagonal is zero, there is nothing more to do
// except filling the transpositions, and checking whether the matrix is zero.
sign = ZeroSign;
for(Index j = 0; j<size; ++j)
{
transpositions.coeffRef(j) = IndexType(j);
ret = ret && (mat.col(j).tail(size-j-1).array()==Scalar(0)).all();
}
return ret;
}
if((rs>0) && pivot_is_valid)
A21 /= realAkk;
else if(rs>0)
ret = ret && (A21.array()==Scalar(0)).all();
if(found_zero_pivot && pivot_is_valid) ret = false; // factorization failed
else if(!pivot_is_valid) found_zero_pivot = true;
if (sign == PositiveSemiDef) {
if (realAkk < static_cast<RealScalar>(0)) sign = Indefinite;
} else if (sign == NegativeSemiDef) {
if (realAkk > static_cast<RealScalar>(0)) sign = Indefinite;
} else if (sign == ZeroSign) {
if (realAkk > static_cast<RealScalar>(0)) sign = PositiveSemiDef;
else if (realAkk < static_cast<RealScalar>(0)) sign = NegativeSemiDef;
}
}
return ret;
}
// Reference for the algorithm: Davis and Hager, "Multiple Rank
// Modifications of a Sparse Cholesky Factorization" (Algorithm 1)
// Trivial rearrangements of their computations (Timothy E. Holy)
// allow their algorithm to work for rank-1 updates even if the
// original matrix is not of full rank.
// Here only rank-1 updates are implemented, to reduce the
// requirement for intermediate storage and improve accuracy
template<typename MatrixType, typename WDerived>
static bool updateInPlace(MatrixType& mat, MatrixBase<WDerived>& w, const typename MatrixType::RealScalar& sigma=1)
{
using numext::isfinite;
typedef typename MatrixType::Scalar Scalar;
typedef typename MatrixType::RealScalar RealScalar;
const Index size = mat.rows();
eigen_assert(mat.cols() == size && w.size()==size);
RealScalar alpha = 1;
// Apply the update
for (Index j = 0; j < size; j++)
{
// Check for termination due to an original decomposition of low-rank
if (!(isfinite)(alpha))
break;
// Update the diagonal terms
RealScalar dj = numext::real(mat.coeff(j,j));
Scalar wj = w.coeff(j);
RealScalar swj2 = sigma*numext::abs2(wj);
RealScalar gamma = dj*alpha + swj2;
mat.coeffRef(j,j) += swj2/alpha;
alpha += swj2/dj;
// Update the terms of L
Index rs = size-j-1;
w.tail(rs) -= wj * mat.col(j).tail(rs);
if(!numext::is_exactly_zero(gamma))
mat.col(j).tail(rs) += (sigma*numext::conj(wj)/gamma)*w.tail(rs);
}
return true;
}
template<typename MatrixType, typename TranspositionType, typename Workspace, typename WType>
static bool update(MatrixType& mat, const TranspositionType& transpositions, Workspace& tmp, const WType& w, const typename MatrixType::RealScalar& sigma=1)
{
// Apply the permutation to the input w
tmp = transpositions * w;
return ldlt_inplace<Lower>::updateInPlace(mat,tmp,sigma);
}
};
template<> struct ldlt_inplace<Upper>
{
template<typename MatrixType, typename TranspositionType, typename Workspace>
static EIGEN_STRONG_INLINE bool unblocked(MatrixType& mat, TranspositionType& transpositions, Workspace& temp, SignMatrix& sign)
{
Transpose<MatrixType> matt(mat);
return ldlt_inplace<Lower>::unblocked(matt, transpositions, temp, sign);
}
template<typename MatrixType, typename TranspositionType, typename Workspace, typename WType>
static EIGEN_STRONG_INLINE bool update(MatrixType& mat, TranspositionType& transpositions, Workspace& tmp, WType& w, const typename MatrixType::RealScalar& sigma=1)
{
Transpose<MatrixType> matt(mat);
return ldlt_inplace<Lower>::update(matt, transpositions, tmp, w.conjugate(), sigma);
}
};
template<typename MatrixType> struct LDLT_Traits<MatrixType,Lower>
{
typedef const TriangularView<const MatrixType, UnitLower> MatrixL;
typedef const TriangularView<const typename MatrixType::AdjointReturnType, UnitUpper> MatrixU;
static inline MatrixL getL(const MatrixType& m) { return MatrixL(m); }
static inline MatrixU getU(const MatrixType& m) { return MatrixU(m.adjoint()); }
};
template<typename MatrixType> struct LDLT_Traits<MatrixType,Upper>
{
typedef const TriangularView<const typename MatrixType::AdjointReturnType, UnitLower> MatrixL;
typedef const TriangularView<const MatrixType, UnitUpper> MatrixU;
static inline MatrixL getL(const MatrixType& m) { return MatrixL(m.adjoint()); }
static inline MatrixU getU(const MatrixType& m) { return MatrixU(m); }
};
} // end namespace internal
/** Compute / recompute the LDLT decomposition A = L D L^* = U^* D U of \a matrix
*/
template<typename MatrixType, int UpLo_>
template<typename InputType>
LDLT<MatrixType,UpLo_>& LDLT<MatrixType,UpLo_>::compute(const EigenBase<InputType>& a)
{
eigen_assert(a.rows()==a.cols());
const Index size = a.rows();
m_matrix = a.derived();
// Compute matrix L1 norm = max abs column sum.
m_l1_norm = RealScalar(0);
// TODO move this code to SelfAdjointView
for (Index col = 0; col < size; ++col) {
RealScalar abs_col_sum;
if (UpLo_ == Lower)
abs_col_sum = m_matrix.col(col).tail(size - col).template lpNorm<1>() + m_matrix.row(col).head(col).template lpNorm<1>();
else
abs_col_sum = m_matrix.col(col).head(col).template lpNorm<1>() + m_matrix.row(col).tail(size - col).template lpNorm<1>();
if (abs_col_sum > m_l1_norm)
m_l1_norm = abs_col_sum;
}
m_transpositions.resize(size);
m_isInitialized = false;
m_temporary.resize(size);
m_sign = internal::ZeroSign;
m_info = internal::ldlt_inplace<UpLo>::unblocked(m_matrix, m_transpositions, m_temporary, m_sign) ? Success : NumericalIssue;
m_isInitialized = true;
return *this;
}
/** Update the LDLT decomposition: given A = L D L^T, efficiently compute the decomposition of A + sigma w w^T.
* \param w a vector to be incorporated into the decomposition.
* \param sigma a scalar, +1 for updates and -1 for "downdates," which correspond to removing previously-added column vectors. Optional; default value is +1.
* \sa setZero()
*/
template<typename MatrixType, int UpLo_>
template<typename Derived>
LDLT<MatrixType,UpLo_>& LDLT<MatrixType,UpLo_>::rankUpdate(const MatrixBase<Derived>& w, const typename LDLT<MatrixType,UpLo_>::RealScalar& sigma)
{
typedef typename TranspositionType::StorageIndex IndexType;
const Index size = w.rows();
if (m_isInitialized)
{
eigen_assert(m_matrix.rows()==size);
}
else
{
m_matrix.resize(size,size);
m_matrix.setZero();
m_transpositions.resize(size);
for (Index i = 0; i < size; i++)
m_transpositions.coeffRef(i) = IndexType(i);
m_temporary.resize(size);
m_sign = sigma>=0 ? internal::PositiveSemiDef : internal::NegativeSemiDef;
m_isInitialized = true;
}
internal::ldlt_inplace<UpLo>::update(m_matrix, m_transpositions, m_temporary, w, sigma);
return *this;
}
#ifndef EIGEN_PARSED_BY_DOXYGEN
template<typename MatrixType_, int UpLo_>
template<typename RhsType, typename DstType>
void LDLT<MatrixType_,UpLo_>::_solve_impl(const RhsType &rhs, DstType &dst) const
{
_solve_impl_transposed<true>(rhs, dst);
}
template<typename MatrixType_,int UpLo_>
template<bool Conjugate, typename RhsType, typename DstType>
void LDLT<MatrixType_,UpLo_>::_solve_impl_transposed(const RhsType &rhs, DstType &dst) const
{
// dst = P b
dst = m_transpositions * rhs;
// dst = L^-1 (P b)
// dst = L^-*T (P b)
matrixL().template conjugateIf<!Conjugate>().solveInPlace(dst);
// dst = D^-* (L^-1 P b)
// dst = D^-1 (L^-*T P b)
// more precisely, use pseudo-inverse of D (see bug 241)
using std::abs;
const typename Diagonal<const MatrixType>::RealReturnType vecD(vectorD());
// In some previous versions, tolerance was set to the max of 1/highest (or rather numeric_limits::min())
// and the maximal diagonal entry * epsilon as motivated by LAPACK's xGELSS:
// RealScalar tolerance = numext::maxi(vecD.array().abs().maxCoeff() * NumTraits<RealScalar>::epsilon(),RealScalar(1) / NumTraits<RealScalar>::highest());
// However, LDLT is not rank revealing, and so adjusting the tolerance wrt to the highest
// diagonal element is not well justified and leads to numerical issues in some cases.
// Moreover, Lapack's xSYTRS routines use 0 for the tolerance.
// Using numeric_limits::min() gives us more robustness to denormals.
RealScalar tolerance = (std::numeric_limits<RealScalar>::min)();
for (Index i = 0; i < vecD.size(); ++i)
{
if(abs(vecD(i)) > tolerance)
dst.row(i) /= vecD(i);
else
dst.row(i).setZero();
}
// dst = L^-* (D^-* L^-1 P b)
// dst = L^-T (D^-1 L^-*T P b)
matrixL().transpose().template conjugateIf<Conjugate>().solveInPlace(dst);
// dst = P^T (L^-* D^-* L^-1 P b) = A^-1 b
// dst = P^-T (L^-T D^-1 L^-*T P b) = A^-1 b
dst = m_transpositions.transpose() * dst;
}
#endif
/** \internal use x = ldlt_object.solve(x);
*
* This is the \em in-place version of solve().
*
* \param bAndX represents both the right-hand side matrix b and result x.
*
* \returns true always! If you need to check for existence of solutions, use another decomposition like LU, QR, or SVD.
*
* This version avoids a copy when the right hand side matrix b is not
* needed anymore.
*
* \sa LDLT::solve(), MatrixBase::ldlt()
*/
template<typename MatrixType,int UpLo_>
template<typename Derived>
bool LDLT<MatrixType,UpLo_>::solveInPlace(MatrixBase<Derived> &bAndX) const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
eigen_assert(m_matrix.rows() == bAndX.rows());
bAndX = this->solve(bAndX);
return true;
}
/** \returns the matrix represented by the decomposition,
* i.e., it returns the product: P^T L D L^* P.
* This function is provided for debug purpose. */
template<typename MatrixType, int UpLo_>
MatrixType LDLT<MatrixType,UpLo_>::reconstructedMatrix() const
{
eigen_assert(m_isInitialized && "LDLT is not initialized.");
const Index size = m_matrix.rows();
MatrixType res(size,size);
// P
res.setIdentity();
res = transpositionsP() * res;
// L^* P
res = matrixU() * res;
// D(L^*P)
res = vectorD().real().asDiagonal() * res;
// L(DL^*P)
res = matrixL() * res;
// P^T (LDL^*P)
res = transpositionsP().transpose() * res;
return res;
}
/** \cholesky_module
* \returns the Cholesky decomposition with full pivoting without square root of \c *this
* \sa MatrixBase::ldlt()
*/
template<typename MatrixType, unsigned int UpLo>
inline const LDLT<typename SelfAdjointView<MatrixType, UpLo>::PlainObject, UpLo>
SelfAdjointView<MatrixType, UpLo>::ldlt() const
{
return LDLT<PlainObject,UpLo>(m_matrix);
}
/** \cholesky_module
* \returns the Cholesky decomposition with full pivoting without square root of \c *this
* \sa SelfAdjointView::ldlt()
*/
template<typename Derived>
inline const LDLT<typename MatrixBase<Derived>::PlainObject>
MatrixBase<Derived>::ldlt() const
{
return LDLT<PlainObject>(derived());
}
} // end namespace Eigen
#endif // EIGEN_LDLT_H