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diff --git a/runtimes/nn/depend/external/eigen/Eigen/src/Cholesky/LDLT.h b/runtimes/nn/depend/external/eigen/Eigen/src/Cholesky/LDLT.h new file mode 100644 index 000000000..fcee7b2e3 --- /dev/null +++ b/runtimes/nn/depend/external/eigen/Eigen/src/Cholesky/LDLT.h @@ -0,0 +1,669 @@ +// 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 + +namespace Eigen { + +namespace internal { + 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 decompositon: 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 L 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: + typedef _MatrixType MatrixType; + enum { + RowsAtCompileTime = MatrixType::RowsAtCompileTime, + ColsAtCompileTime = MatrixType::ColsAtCompileTime, + MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime, + MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime, + UpLo = _UpLo + }; + typedef typename MatrixType::Scalar Scalar; + typedef typename NumTraits<typename MatrixType::Scalar>::Real RealScalar; + typedef Eigen::Index Index; ///< \deprecated since Eigen 3.3 + typedef typename MatrixType::StorageIndex StorageIndex; + 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; + } + + /** \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$ is \f$ A \f$ is singular. + * + * \sa MatrixBase::ldlt(), SelfAdjointView::ldlt() + */ + template<typename Rhs> + inline const Solve<LDLT, Rhs> + solve(const MatrixBase<Rhs>& b) const + { + eigen_assert(m_isInitialized && "LDLT is not initialized."); + eigen_assert(m_matrix.rows()==b.rows() + && "LDLT::solve(): invalid number of rows of the right hand side matrix b"); + return Solve<LDLT, Rhs>(*this, b.derived()); + } + + 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; }; + + inline Index rows() const { return m_matrix.rows(); } + inline Index cols() const { return m_matrix.cols(); } + + /** \brief Reports whether previous computation was successful. + * + * \returns \c Success if computation was succesful, + * \c NumericalIssue if the matrix.appears to be negative. + */ + ComputationInfo info() const + { + eigen_assert(m_isInitialized && "LDLT is not initialized."); + return m_info; + } + + #ifndef EIGEN_PARSED_BY_DOXYGEN + template<typename RhsType, typename DstType> + EIGEN_DEVICE_FUNC + void _solve_impl(const RhsType &rhs, DstType &dst) const; + #endif + + protected: + + static void check_template_parameters() + { + 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 (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; + + 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(gamma != 0) + 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) +{ + check_template_parameters(); + + 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 +{ + eigen_assert(rhs.rows() == rows()); + // dst = P b + dst = m_transpositions * rhs; + + // dst = L^-1 (P b) + matrixL().solveInPlace(dst); + + // dst = D^-1 (L^-1 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 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. + RealScalar tolerance = RealScalar(1) / NumTraits<RealScalar>::highest(); + + 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^-T (D^-1 L^-1 P b) + matrixU().solveInPlace(dst); + + // dst = P^-1 (L^-T D^-1 L^-1 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 |