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66 lines
2.5 KiB
C++
66 lines
2.5 KiB
C++
// This file is part of Eigen, a lightweight C++ template library
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// for linear algebra. Eigen itself is part of the KDE project.
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//
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// Copyright (C) 2008 Gael Guennebaud <g.gael@free.fr>
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//
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// Eigen is free software; you can redistribute it and/or
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// modify it under the terms of the GNU Lesser General Public
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// License as published by the Free Software Foundation; either
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// version 3 of the License, or (at your option) any later version.
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//
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// Alternatively, you can redistribute it and/or
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// modify it under the terms of the GNU General Public License as
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// published by the Free Software Foundation; either version 2 of
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// the License, or (at your option) any later version.
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//
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// Eigen is distributed in the hope that it will be useful, but WITHOUT ANY
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// WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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// FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License or the
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// GNU General Public License for more details.
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//
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// You should have received a copy of the GNU Lesser General Public
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// License and a copy of the GNU General Public License along with
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// Eigen. If not, see <http://www.gnu.org/licenses/>.
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#include "main.h"
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#include <Eigen/Cholesky>
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#include <Eigen/LU>
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template<typename MatrixType> void cholesky(const MatrixType& m)
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{
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/* this test covers the following files:
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Cholesky.h CholeskyWithoutSquareRoot.h
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*/
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int rows = m.rows();
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int cols = m.cols();
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typedef typename MatrixType::Scalar Scalar;
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typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, MatrixType::RowsAtCompileTime> SquareMatrixType;
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typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, 1> VectorType;
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MatrixType a = MatrixType::Random(rows,cols);
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VectorType vecB = VectorType::Random(rows);
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MatrixType matB = MatrixType::Random(rows,cols);
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SquareMatrixType covMat = a * a.adjoint();
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CholeskyWithoutSquareRoot<SquareMatrixType> cholnosqrt(covMat);
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VERIFY_IS_APPROX(covMat, cholnosqrt.matrixL() * cholnosqrt.vectorD().asDiagonal() * cholnosqrt.matrixL().adjoint());
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VERIFY_IS_APPROX(covMat * cholnosqrt.solve(vecB), vecB);
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VERIFY_IS_APPROX(covMat * cholnosqrt.solve(matB), matB);
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Cholesky<SquareMatrixType> chol(covMat);
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VERIFY_IS_APPROX(covMat, chol.matrixL() * chol.matrixL().adjoint());
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VERIFY_IS_APPROX(covMat * chol.solve(vecB), vecB);
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VERIFY_IS_APPROX(covMat * chol.solve(matB), matB);
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}
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void test_cholesky()
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{
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for(int i = 0; i < 1; i++) {
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CALL_SUBTEST( cholesky(Matrix3f()) );
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CALL_SUBTEST( cholesky(Matrix4d()) );
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CALL_SUBTEST( cholesky(MatrixXcd(7,7)) );
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CALL_SUBTEST( cholesky(MatrixXf(85,85)) );
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}
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}
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