bool pdsolve(const SQMATTP& M,const VCTTP& b,VCTTP& res,double* logDet)
{
/* static */ LDLT<SQMATTP> MSr;
MSr = M.ldlt(); // Maybe replace this by a better rank-reaveling criteron
if (MSr.info()!=Success) return false;
res = MSr.solve(b);
if (logDet) {
Diagonal<const SQMATTP> MSrdiag(MSr.vectorD());
*logDet = log(MSrdiag(0));
for (int i=1;i<M.rows();i++) *logDet += log(MSrdiag(i));
}
return true;
}
bool pdsolve(const SQMATTP& M,SQMATTP& MInv,double* logDet)
{
/* static */ LDLT<SQMATTP> MSr;
/* static */ SQMATTP Ip;
/* static */ int Ipdim(0);
int p(M.rows());
if (Ipdim!=p) SetIdentity(Ip,p,&Ipdim);
MSr = M.ldlt(); // Maybe replace this by a better rank-reaveling criteron
if (MSr.info()!=Success) return false;
MInv = MSr.solve(Ip);
if (logDet) {
Diagonal<const SQMATTP> MSrdiag(MSr.vectorD());
*logDet = log(MSrdiag(0));
for (int i=1;i<M.rows();i++) *logDet += log(MSrdiag(i));
}
return true;
}
inline bool
check_pos_definite(const char* function,
const char* name,
const Eigen::Matrix<T_y, Dynamic, Dynamic>& y) {
check_symmetric(function, name, y);
check_positive_size(function, name, "rows", y.rows());
if (y.rows() == 1 && !(y(0, 0) > CONSTRAINT_TOLERANCE))
domain_error(function, name, y, "is not positive definite: ");
using Eigen::LDLT;
using Eigen::Matrix;
using Eigen::Dynamic;
LDLT< Matrix<double, Dynamic, Dynamic> > cholesky
= value_of_rec(y).ldlt();
if (cholesky.info() != Eigen::Success
|| !cholesky.isPositive()
|| (cholesky.vectorD().array() <= CONSTRAINT_TOLERANCE).any())
domain_error(function, name, y, "is not positive definite:\n");
check_not_nan(function, name, y);
return true;
}