#[cfg(feature = "serde-serialize")] use serde::{Deserialize, Serialize}; use crate::allocator::Allocator; use crate::base::{DefaultAllocator, MatrixN}; use crate::dimension::DimName; use simba::scalar::ComplexField; /// UDU factorization #[cfg_attr(feature = "serde-serialize", derive(Serialize, Deserialize))] #[derive(Clone, Debug)] pub struct UDU where DefaultAllocator: Allocator, { /// The upper triangular matrix resulting from the factorization pub u: MatrixN, /// The diagonal matrix resulting from the factorization pub d: MatrixN, } impl Copy for UDU where DefaultAllocator: Allocator, MatrixN: Copy, { } impl UDU where DefaultAllocator: Allocator, { /// Computes the UDU^T factorization /// NOTE: The provided matrix MUST be symmetric, and no verification is done in this regard. /// Ref.: "Optimal control and estimation-Dover Publications", Robert F. Stengel, (1994) page 360 pub fn new(p: MatrixN) -> Self { let mut d = MatrixN::::zeros(); let mut u = MatrixN::::zeros(); let n = p.ncols(); d[(n - 1, n - 1)] = p[(n - 1, n - 1)]; u[(n - 1, n - 1)] = N::one(); for j in (0..n - 1).rev() { u[(j, n - 1)] = p[(j, n - 1)] / d[(n - 1, n - 1)]; } for j in (0..n - 1).rev() { for k in j + 1..n { d[(j, j)] = d[(j, j)] + d[(k, k)] * u[(j, k)].powi(2); } d[(j, j)] = p[(j, j)] - d[(j, j)]; for i in (0..=j).rev() { for k in j + 1..n { u[(i, j)] = u[(i, j)] + d[(k, k)] * u[(j, k)] * u[(i, k)]; } u[(i, j)] = p[(i, j)] - u[(i, j)]; u[(i, j)] /= d[(j, j)]; } u[(j, j)] = N::one(); } Self { u, d } } }