chol.h

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////////////////////////////////////////////////////////////////////////
//
// Copyright (C) 1994-2023 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.
//
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// 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
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////////////////////////////////////////////////////////////////////////
 
#if ! defined (octave_chol_h)
#define octave_chol_h 1
 
#include "octave-config.h"
 
OCTAVE_BEGIN_NAMESPACE(octave)
 
OCTAVE_BEGIN_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);
 
OCTAVE_END_NAMESPACE(math)
OCTAVE_END_NAMESPACE(octave)
 
#endif