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Nestor Demeure 2019-11-02 16:49:57 +01:00
parent 80d2efcb5d
commit bc7935ac24
1 changed files with 2 additions and 4 deletions
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6
src/linalg/cholesky.rs
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@ -147,12 +147,10 @@ where
res res
} }
/// Performs a rank one update of the current decomposition. /// Given the Cholesky decomposition of a matrix `M`, a scalar `sigma` and a vector `v`,
/// If `M = L * L^T` before the rank one update, then after it we have `L*L^T = M + sigma * v*v^T` where v must be a vector of same dimension. /// performs a rank one update such that we end up with the decomposition of `M + sigma * v*v^*`.
/// TODO rewrite comment (current version is taken verbatim from eigen)
/// TODO insures that code is correct for complex numbers, eigen uses abs2 and conj /// TODO insures that code is correct for complex numbers, eigen uses abs2 and conj
/// https://eigen.tuxfamily.org/dox/LLT_8h_source.html /// https://eigen.tuxfamily.org/dox/LLT_8h_source.html
/// TODO insure that sigma is a real
pub fn rank_one_update<R2: Dim, S2, N2: RealField>( pub fn rank_one_update<R2: Dim, S2, N2: RealField>(
&mut self, &mut self,
x: &Matrix<N, R2, U1, S2>, x: &Matrix<N, R2, U1, S2>,