ReturnMatrix Cholesky(const SymmetricBandMatrix& S)
{
REPORT
Tracer trace("Band-Cholesky");
int nr = S.Nrows(); int m = S.lower_val;
LowerBandMatrix T(nr,m);
Real* s = S.Store(); Real* t = T.Store(); Real* ti = t;
for (int i=0; i<nr; i++)
{
Real* tj = t; Real sum; int l;
if (i<m) { REPORT l = m-i; s += l; ti += l; l = i; }
else { REPORT t += (m+1); l = m; }
for (int j=0; j<l; j++)
{
Real* tk = ti; sum = 0.0; int k = j; tj += (m-j);
while (k--) { sum += *tj++ * *tk++; }
*tk = (*s++ - sum) / *tj++;
}
sum = 0.0;
while (l--) { sum += square(*ti++); }
Real d = *s++ - sum;
if (d<=0.0) Throw(NPDException(S));
*ti++ = sqrt(d);
}
T.release(); return T.for_return();
}
void CholeskySolver<TYPE>::Solve(const BaseMatrix<TYPE> &in, BaseMatrix<TYPE> &out) const
{
assert(in.Nrows() == lm.Ncols());
assert(in.Nrows() == out.Nrows() && in.Ncols() == out.Ncols());
if (LinearEquationSolver<TYPE>::fail)
{
Singleton<Tracer>::Instance()->AddMessage("CholeskySolver::Solve(in, out)");
throw NPDException(SimpleSolver<TYPE>::mat);
}
Matrix<TYPE> temp(out.Nrows(), out.Ncols());
lm.Solve(in, temp);
t(lm).Solve(temp, out);
}
LogAndSign<TYPE> CholeskySolver<TYPE>::LogDeterminant() const
{
if (LinearEquationSolver<TYPE>::fail)
{
Singleton<Tracer>::Instance()->AddMessage("CholeskySolver::LogDeterminant()");
throw NPDException(SimpleSolver<TYPE>::mat);
}
LogAndSign<TYPE> ld;
int n = lm.Nrows();
for (int i = 1; i <= n; ++i)
{
ld *= lm(i, i);
}
ld.PowEq(2);
return ld;
}
ReturnMatrix Cholesky(const SymmetricMatrix& S)
{
REPORT
Tracer trace("Cholesky");
int nr = S.Nrows();
LowerTriangularMatrix T(nr);
Real* s = S.Store(); Real* t = T.Store(); Real* ti = t;
for (int i=0; i<nr; i++)
{
Real* tj = t; Real sum; int k;
for (int j=0; j<i; j++)
{
Real* tk = ti; sum = 0.0; k = j;
while (k--) { sum += *tj++ * *tk++; }
*tk = (*s++ - sum) / *tj++;
}
sum = 0.0; k = i;
while (k--) { sum += square(*ti++); }
Real d = *s++ - sum;
if (d<=0.0) Throw(NPDException(S));
*ti++ = sqrt(d);
}
T.release(); return T.for_return();
}
