95 lines
1.8 KiB
C
95 lines
1.8 KiB
C
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#ifndef _SIMPLE_MATH_CHOLESKY_H
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#define _SIMPLE_MATH_CHOLESKY_H
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#include <iostream>
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#include <limits>
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#include "SimpleMathDynamic.h"
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namespace SimpleMath {
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template <typename matrix_type>
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class LLT {
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public:
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typedef typename matrix_type::value_type value_type;
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private:
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LLT () {}
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typedef Dynamic::Matrix<value_type> MatrixXXd;
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typedef Dynamic::Matrix<value_type> VectorXd;
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bool mIsFactorized;
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MatrixXXd mL;
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public:
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LLT (const matrix_type &matrix) :
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mIsFactorized(false),
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mL(matrix) {
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compute();
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}
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LLT compute() {
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for (int i = 0; i < mL.rows(); i++) {
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for (int j = 0; j < mL.rows(); j++) {
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if (j > i) {
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mL(i,j) = 0.;
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continue;
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}
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double s = mL(i,j);
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for (int k = 0; k < j; k++) {
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s = s - mL(i,k) * mL(j,k);
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}
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if (i > j) {
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mL(i,j) = s / mL(j,j);
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} else if (s > 0.) {
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mL (i,i) = sqrt (s);
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} else {
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std::cerr << "Error computing Cholesky decomposition: matrix not symmetric positive definite!" << std::endl;
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assert (false);
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}
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}
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}
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mIsFactorized = true;
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return *this;
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}
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Dynamic::Matrix<value_type> solve (
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const Dynamic::Matrix<value_type> &rhs
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) const {
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assert (mIsFactorized);
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VectorXd y (mL.rows());
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for (unsigned int i = 0; i < mL.rows(); i++) {
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double temp = rhs[i];
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for (unsigned int j = 0; j < i; j++) {
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temp = temp - mL(i,j) * y[j];
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}
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y[i] = temp / mL(i,i);
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}
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VectorXd x (mL.rows());
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for (int i = mL.rows() - 1; i >= 0; i--) {
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double temp = y[i];
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for (unsigned int j = i + 1; j < mL.rows(); j++) {
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temp = temp - mL(j, i) * x[j];
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}
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x[i] = temp / mL(i,i);
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}
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return x;
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}
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Dynamic::Matrix<value_type> matrixL() const {
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return mL;
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}
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};
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}
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/* _SIMPLE_MATH_CHOLESKY_H */
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#endif
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