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added real constraint on sigma

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Nestor Demeure 2019-11-02 16:45:30 +01:00 committed by Sébastien Crozet
parent 45e6ac7c2a
commit 16154f163a
2 changed files with 16 additions and 6 deletions
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11
src/linalg/cholesky.rs
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@ -8,6 +8,7 @@ use crate::base::{DefaultAllocator, Matrix, MatrixMN, MatrixN, SquareMatrix};
use crate::constraint::{SameNumberOfRows, ShapeConstraint};
use crate::dimension::{Dim, DimSub, Dynamic, U1};
use crate::storage::{Storage, StorageMut};
use crate::RealField;
/// The Cholesky decomposition of a symmetric-definite-positive matrix.
#[cfg_attr(feature = "serde-serialize", derive(Serialize, Deserialize))]
@ -151,12 +152,18 @@ where
/// TODO rewrite comment (current version is taken verbatim from eigen)
/// TODO insures that code is correct for complex numbers, eigen uses abs2 and conj
/// https://eigen.tuxfamily.org/dox/LLT_8h_source.html
pub fn rank_one_update<R2: Dim, S2>(&mut self, x: &Matrix<N, R2, U1, S2>, sigma: N)
where
/// TODO insure that sigma is a real
pub fn rank_one_update<R2: Dim, S2, N2: RealField>(
&mut self,
x: &Matrix<N, R2, U1, S2>,
sigma: N2,
) where
N: From<N2>,
S2: Storage<N, R2, U1>,
DefaultAllocator: Allocator<N, R2, U1>,
ShapeConstraint: SameNumberOfRows<R2, D>,
{
let sigma = <N>::from(sigma);
let n = x.nrows();
let mut temp = x.clone_owned();
for k in 0..n {

11
tests/linalg/cholesky.rs
View File

@ -83,9 +83,12 @@ macro_rules! gen_tests(
use nalgebra::Vector3;
let mut m = RandomSDP::new(U3, || random::<$scalar>().0).unwrap();
let x = Vector3::<$scalar>::new_random().map(|e| e.0);
let mut sigma = random::<$scalar>().0; // random::<$scalar>().0;
let one = sigma*0. + 1.; // TODO this is dirty but $scalar appears to not be a scalar type in this file
sigma = one; // TODO placeholder
// TODO this is dirty but $scalar appears to not be a scalar type in this file
let zero = random::<$scalar>().0 * 0.;
let one = zero + 1.;
let sigma = random::<f64>(); // needs to be a real
let sigma_scalar = zero + sigma;
// updates cholesky decomposition and reconstructs m
let mut chol = m.clone().cholesky().unwrap();
@ -93,7 +96,7 @@ macro_rules! gen_tests(
let m_chol_updated = chol.l() * chol.l().adjoint();
// updates m manually
m.ger(sigma, &x, &x, one); // m += sigma * x * x.adjoint()
m.ger(sigma_scalar, &x, &x, one); // m += sigma * x * x.adjoint()
println!("sigma : {}", sigma);
println!("m updated : {}", m);