Merge pull request #1192 from fortify-iq/ln-determinant

Add ln_determinant to Cholesky

src/linalg/cholesky.rs

@@ -1,7 +1,7 @@
 #[cfg(feature = "serde-serialize-no-std")]
 use serde::{Deserialize, Serialize};
 
-use num::One;
+use num::{One, Zero};
 use simba::scalar::ComplexField;
 use simba::simd::SimdComplexField;
 
@@ -161,6 +161,27 @@ where
         }
         prod_diag.simd_modulus_squared()
     }
+
+    /// Computes the natural logarithm of determinant of the decomposed matrix.
+    ///
+    /// This method is more robust than `.determinant()` to very small or very
+    /// large determinants since it returns the natural logarithm of the
+    /// determinant rather than the determinant itself.
+    #[must_use]
+    pub fn ln_determinant(&self) -> T::SimdRealField {
+        let dim = self.chol.nrows();
+        let mut sum_diag = T::SimdRealField::zero();
+        for i in 0..dim {
+            sum_diag += unsafe {
+                self.chol
+                    .get_unchecked((i, i))
+                    .clone()
+                    .simd_modulus_squared()
+                    .simd_ln()
+            };
+        }
+        sum_diag
+    }
 }
 
 impl<T: ComplexField, D: Dim> Cholesky<T, D>