chol.h

Go to the documentation of this file.

////////////////////////////////////////////////////////////////////////
//
// Copyright (C) 1994-2022 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.
//
// Octave is free software: you can redistribute it and/or modify it
// under the terms of the GNU General Public License as published by
// the Free Software Foundation, either version 3 of the License, or
// (at your option) any later version.
//
// Octave is distributed in the hope that it will be useful, but
// WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
// GNU General Public License for more details.
//
// You should have received a copy of the GNU General Public License
// along with Octave; see the file COPYING.  If not, see
// <https://www.gnu.org/licenses/>.
//
////////////////////////////////////////////////////////////////////////
 
#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) : m_chol_mat (), m_rcond (0), m_is_upper (true) { }
 
      chol (const T& a, bool upper = true, bool calc_cond = false)
        : m_chol_mat (), m_rcond (0)
      {
        init (a, upper, calc_cond);
      }
 
      chol (const T& a, octave_idx_type& info, bool upper = true,
            bool calc_cond = false)
        : m_chol_mat (), m_rcond (0)
      {
        info = init (a, upper, calc_cond);
      }
 
      chol (const chol& a)
        : m_chol_mat (a.m_chol_mat), m_rcond (a.m_rcond), m_is_upper (a.m_is_upper) { }
 
      chol& operator = (const chol& a)
      {
        if (this != &a)
          {
            m_chol_mat = a.m_chol_mat;
            m_rcond = a.m_rcond;
            m_is_upper = a.m_is_upper;
          }
 
        return *this;
      }
 
      T chol_matrix (void) const { return m_chol_mat; }
 
      COND_T rcond (void) const { return m_rcond; }
 
      // Compute the inverse of a matrix using the Cholesky factorization.
      OCTAVE_API T inverse (void) const;
 
      OCTAVE_API void set (const T& R);
 
      OCTAVE_API void update (const VT& u);
 
      OCTAVE_API octave_idx_type downdate (const VT& u);
 
      OCTAVE_API octave_idx_type insert_sym (const VT& u, octave_idx_type j);
 
      OCTAVE_API void delete_sym (octave_idx_type j);
 
      OCTAVE_API void shift_sym (octave_idx_type i, octave_idx_type j);
 
    private:
 
      T m_chol_mat;
 
      COND_T m_rcond;
 
      bool m_is_upper;
 
      OCTAVE_API octave_idx_type init (const T& a, bool upper, bool calc_cond);
    };
 
    template <typename T>
    OCTAVE_API T
    chol2inv (const T& r);
  }
}
 
#endif