chol.h

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////////////////////////////////////////////////////////////////////////
//
// Copyright (C) 1994-2021 The Octave Project Developers
//
// See the file COPYRIGHT.md in the top-level directory of this
// distribution or <https://octave.org/copyright/>.
//
// This file is part of Octave.
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// Octave is free software: you can redistribute it and/or modify it
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////////////////////////////////////////////////////////////////////////
 
#if ! defined (octave_chol_h)
#define octave_chol_h 1
 
#include "octave-config.h"
 
namespace octave
{
  namespace math
  {
    template <typename T>
    class
    chol
    {
    public:
 
      typedef typename T::column_vector_type VT;
      typedef typename T::real_elt_type COND_T;
 
      chol (void) : chol_mat (), xrcond (0), is_upper (true) { }
 
      chol (const T& a, bool upper = true, bool calc_cond = false)
        : chol_mat (), xrcond (0)
      {
        init (a, upper, calc_cond);
      }
 
      chol (const T& a, octave_idx_type& info, bool upper = true,
            bool calc_cond = false)
        : chol_mat (), xrcond (0)
      {
        info = init (a, upper, calc_cond);
      }
 
      chol (const chol& a)
        : chol_mat (a.chol_mat), xrcond (a.xrcond), is_upper (a.is_upper) { }
 
      chol& operator = (const chol& a)
      {
        if (this != &a)
          {
            chol_mat = a.chol_mat;
            xrcond = a.xrcond;
            is_upper = a.is_upper;
          }
 
        return *this;
      }
 
      T chol_matrix (void) const { return chol_mat; }
 
      COND_T rcond (void) const { return xrcond; }
 
      // Compute the inverse of a matrix using the Cholesky factorization.
      T inverse (void) const;
 
      void set (const T& R);
 
      void update (const VT& u);
 
      octave_idx_type downdate (const VT& u);
 
      octave_idx_type insert_sym (const VT& u, octave_idx_type j);
 
      void delete_sym (octave_idx_type j);
 
      void shift_sym (octave_idx_type i, octave_idx_type j);
 
    private:
 
      T chol_mat;
 
      COND_T xrcond;
 
      bool is_upper;
 
      octave_idx_type init (const T& a, bool upper, bool calc_cond);
    };
 
    template <typename T>
    T
    chol2inv (const T& r);
  }
}
 
#endif