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Remove early termination in LDLT: the zero on the diagonal of the input matrix does not mean the matrix is not full rank. Typical examples are matrices coming from LS with linear equality constraints.

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This commit is contained in:
Gael Guennebaud 2014-02-26 10:12:27 +01:00
parent 6b6071866b
commit ac69d8769f
2 changed files with 36 additions and 10 deletions
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14
Eigen/src/Cholesky/LDLT.h
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@ -291,13 +291,6 @@ template<> struct ldlt_inplace<Lower>
cutoff = abs(NumTraits<Scalar>::epsilon() * biggest_in_corner);
}
// Finish early if the matrix is not full rank.
if(biggest_in_corner < cutoff)
{
for(Index i = k; i < size; i++) transpositions.coeffRef(i) = i;
break;
}
transpositions.coeffRef(k) = index_of_biggest_in_corner;
if(k != index_of_biggest_in_corner)
{
@ -333,6 +326,7 @@ template<> struct ldlt_inplace<Lower>
if(rs>0)
A21.noalias() -= A20 * temp.head(k);
}
if((rs>0) && (abs(mat.coeffRef(k,k)) > cutoff))
A21 /= mat.coeffRef(k,k);
@ -518,12 +512,12 @@ struct solve_retval<LDLT<_MatrixType,_UpLo>, Rhs>
typedef typename LDLTType::RealScalar RealScalar;
const Diagonal<const MatrixType> vectorD = dec().vectorD();
RealScalar tolerance = (max)(vectorD.array().abs().maxCoeff() * NumTraits<Scalar>::epsilon(),
RealScalar(1) / NumTraits<RealScalar>::highest()); // motivated by LAPACK's xGELSS
RealScalar(1) / NumTraits<RealScalar>::highest()); // motivated by LAPACK's xGELSS
for (Index i = 0; i < vectorD.size(); ++i) {
if(abs(vectorD(i)) > tolerance)
dst.row(i) /= vectorD(i);
dst.row(i) /= vectorD(i);
else
dst.row(i).setZero();
dst.row(i).setZero();
}
// dst = L^-T (D^-1 L^-1 P b)

32
test/cholesky.cpp
View File

@ -179,6 +179,38 @@ template<typename MatrixType> void cholesky(const MatrixType& m)
// restore
if(sign == -1)
symm = -symm;
// check matrices coming from linear constraints with Lagrange multipliers
if(rows>=3)
{
SquareMatrixType A = symm;
int c = internal::random<int>(0,rows-2);
A.bottomRightCorner(c,c).setZero();
// Make sure a solution exists:
vecX.setRandom();
vecB = A * vecX;
vecX.setZero();
ldltlo.compute(A);
VERIFY_IS_APPROX(A, ldltlo.reconstructedMatrix());
vecX = ldltlo.solve(vecB);
VERIFY_IS_APPROX(A * vecX, vecB);
}
// check non-full rank matrices
if(rows>=3)
{
int r = internal::random<int>(1,rows-1);
Matrix<Scalar,Dynamic,Dynamic> a = Matrix<Scalar,Dynamic,Dynamic>::Random(rows,r);
SquareMatrixType A = a * a.adjoint();
// Make sure a solution exists:
vecX.setRandom();
vecB = A * vecX;
vecX.setZero();
ldltlo.compute(A);
VERIFY_IS_APPROX(A, ldltlo.reconstructedMatrix());
vecX = ldltlo.solve(vecB);
VERIFY_IS_APPROX(A * vecX, vecB);
}
}
// update/downdate