Lapack_Cholesky.h

// -*- c++ -*-

//     Copyright (C) 2009 Tom Drummond (twd20@cam.ac.uk)

//All rights reserved.
//
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//modification, are permitted provided that the following conditions
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#ifndef TOON_INCLUDE_LAPACK_CHOLESKY_H
#define TOON_INCLUDE_LAPACK_CHOLESKY_H

#include <TooN/TooN.h>

#include <TooN/lapack.h>

#include <assert.h>

namespace TooN {


template <int Size, typename Precision=DefaultPrecision>
class Lapack_Cholesky {
public:

    Lapack_Cholesky(){}
    
    template<class P2, class B2>
    Lapack_Cholesky(const Matrix<Size, Size, P2, B2>& m) 
      : my_cholesky(m), my_cholesky_lapack(m) {
        SizeMismatch<Size,Size>::test(m.num_rows(), m.num_cols());
        do_compute();
    }

    Lapack_Cholesky(int size) : my_cholesky(size,size), my_cholesky_lapack(size,size) {}

    template<class P2, class B2> void compute(const Matrix<Size, Size, P2, B2>& m){
        SizeMismatch<Size,Size>::test(m.num_rows(), m.num_cols());
        SizeMismatch<Size,Size>::test(m.num_rows(), my_cholesky.num_rows());
        my_cholesky_lapack=m;
        do_compute();
    }



    void do_compute(){
        FortranInteger N = my_cholesky.num_rows();
        FortranInteger info;
        potrf_("L", &N, my_cholesky_lapack.my_data, &N, &info);
        for (int i=0;i<N;i++) {
          int j;
          for (j=0;j<=i;j++) {
            my_cholesky[i][j]=my_cholesky_lapack[j][i];
          }
          // LAPACK does not set upper triangle to zero, 
          // must be done here
          for (;j<N;j++) {
            my_cholesky[i][j]=0;
          }
        }
        assert(info >= 0);
        if (info > 0) {
            my_rank = info-1;
        } else {
            my_rank = N;
        }
    }

    int rank() const { return my_rank; }

    template <int Size2, typename P2, typename B2>
        Vector<Size, Precision> backsub (const Vector<Size2, P2, B2>& v) const {
        SizeMismatch<Size,Size2>::test(my_cholesky.num_cols(), v.size());

        Vector<Size, Precision> result(v);
        FortranInteger N=my_cholesky.num_rows();
        FortranInteger NRHS=1;
        FortranInteger info;
        potrs_("L", &N, &NRHS, my_cholesky_lapack.my_data, &N, result.my_data, &N, &info);     
        assert(info==0);
        return result;
    }

    template <int Size2, int Cols2, typename P2, typename B2>
        Matrix<Size, Cols2, Precision, ColMajor> backsub (const Matrix<Size2, Cols2, P2, B2>& m) const {
        SizeMismatch<Size,Size2>::test(my_cholesky.num_cols(), m.num_rows());

        Matrix<Size, Cols2, Precision, ColMajor> result(m);
        FortranInteger N=my_cholesky.num_rows();
        FortranInteger NRHS=m.num_cols();
        FortranInteger info;
        potrs_("L", &N, &NRHS, my_cholesky_lapack.my_data, &N, result.my_data, &N, &info);     
        assert(info==0);
        return result;
    }

    template <int Size2, typename P2, typename B2>
        Precision mahalanobis(const Vector<Size2, P2, B2>& v) const {
        return v * backsub(v);
    }

    Matrix<Size,Size,Precision> get_L() const {
        return my_cholesky;
    }

    Precision determinant() const {
        Precision det = my_cholesky[0][0];
        for (int i=1; i<my_cholesky.num_rows(); i++)
            det *= my_cholesky[i][i];
        return det*det;
    }

    Matrix<> get_inverse() const {
        Matrix<Size, Size, Precision> M(my_cholesky.num_rows(),my_cholesky.num_rows());
        M=my_cholesky_lapack;
        FortranInteger N = my_cholesky.num_rows();
        FortranInteger info;
        potri_("L", &N, M.my_data, &N, &info);
        assert(info == 0);
        for (int i=1;i<N;i++) {
          for (int j=0;j<i;j++) {
            M[i][j]=M[j][i];
          }
        }
        return M;
    }

private:
    Matrix<Size,Size,Precision> my_cholesky;     
    Matrix<Size,Size,Precision> my_cholesky_lapack;     
    FortranInteger my_rank;
};


}

#endif