M-Labs
/
nalgebra
3
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

insert does not compile yet

This commit is contained in:
Nestor Demeure 2019-11-03 15:43:49 +01:00 committed by Sébastien Crozet
parent b29231cf7b
commit c613360a5c
1 changed files with 16 additions and 10 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

26
src/linalg/cholesky.rs
View File

@ -6,7 +6,7 @@ use alga::general::ComplexField;
use crate::allocator::Allocator; use crate::allocator::Allocator;
use crate::base::{DefaultAllocator, Matrix, MatrixMN, MatrixN, SquareMatrix}; use crate::base::{DefaultAllocator, Matrix, MatrixMN, MatrixN, SquareMatrix};
use crate::constraint::{SameNumberOfRows, ShapeConstraint}; use crate::constraint::{SameNumberOfRows, ShapeConstraint};
use crate::dimension::{Dim, DimAdd, DimSum, DimDiff, DimSub, Dynamic, U1}; use crate::dimension::{Dim, DimName, DimAdd, DimSum, DimDiff, DimSub, Dynamic, U1};
use crate::storage::{Storage, StorageMut}; use crate::storage::{Storage, StorageMut};
use crate::base::allocator::Reallocator; use crate::base::allocator::Reallocator;
@ -214,21 +214,25 @@ where
// TODO check for adjoint problems // TODO check for adjoint problems
let mut chol= self.chol.clone().insert_column(j, N::zero()).insert_row(j, N::zero()); let mut chol= self.chol.clone().insert_column(j, N::zero()).insert_row(j, N::zero());
// update the top center element S12 // update the jth row
let top_left_corner = chol.slice_range(..j-1, ..j-1); let top_left_corner = chol.slice_range(..j-1, ..j-1);
let colj = col.rows_range(..j-1); // clone_owned needed to get storage mut for b in solve let colj_minus = col.rows_range(..j-1);
let new_colj = top_left_corner.ad_solve_lower_triangular(&colj).unwrap(); let rowj = top_left_corner.solve_lower_triangular(&colj_minus).unwrap().adjoint(); // TODO both the row and its adjoint seem to be usefull
chol.slice_range_mut(..j-1, j).copy_from(&new_colj); chol.slice_range_mut(j, ..j-1).copy_from(&rowj);
// update the center element S22 // update the center element
let rowj = chol.slice_range(j, ..j-1);
let center_element = N::sqrt(col[j] + rowj.dot(&rowj.adjoint())); // TODO is there a better way to multiply a vector by its adjoint ? norm_squared ? let center_element = N::sqrt(col[j] + rowj.dot(&rowj.adjoint())); // TODO is there a better way to multiply a vector by its adjoint ? norm_squared ?
chol[(j,j)] = center_element; chol[(j,j)] = center_element;
// update the right center element S23 // update the jth column
//chol.slice_range_mut(j+1.., j).copy_from(&new_rowj); let colj_plus = col.rows_range(j+1..).adjoint();
let bottom_left_corner = chol.slice_range(j+1, ..j-1);
let colj = (colj_plus - bottom_left_corner*rowj.adjoint()) / center_element;
chol.slice_range_mut(j+1.., j).copy_from(&colj);
// update the bottom right corner // update the bottom right corner
let mut bottom_right_corner = chol.slice_range_mut(j.., j..);
rank_one_update_helper(&mut bottom_right_corner, &colj, -N::real(N::one()));
// TODO see https://en.wikipedia.org/wiki/Cholesky_decomposition#Updating_the_decomposition // TODO see https://en.wikipedia.org/wiki/Cholesky_decomposition#Updating_the_decomposition
Cholesky { chol } Cholesky { chol }
@ -276,7 +280,9 @@ where
/// performs a rank one update such that we end up with the decomposition of `M + sigma * v*v.adjoint()`. /// performs a rank one update such that we end up with the decomposition of `M + sigma * v*v.adjoint()`.
fn rank_one_update_helper<N, D, S, R2, S2>(chol : &mut Matrix<N, D, D, S>, x: &Matrix<N, R2, U1, S2>, sigma: N::RealField) fn rank_one_update_helper<N, D, S, R2, S2>(chol : &mut Matrix<N, D, D, S>, x: &Matrix<N, R2, U1, S2>, sigma: N::RealField)
where where
N: ComplexField, D: DimSub<Dynamic>, R2: Dim, N: ComplexField,
D: DimSub<Dynamic>,
R2: Dim,
S: StorageMut<N, D, D>, S: StorageMut<N, D, D>,
S2: Storage<N, R2, U1>, S2: Storage<N, R2, U1>,
DefaultAllocator: Allocator<N, D, D> + Allocator<N, R2, U1>, DefaultAllocator: Allocator<N, D, D> + Allocator<N, R2, U1>,