//#define PARANOID
void
-Choleski_decomposition::full_matrix_solve(Vector &out, Vector const &rhs)const
+Choleski_decomposition::full_matrix_solve (Vector &out, Vector const &rhs)const
{
int n= rhs.dim();
- assert(n == L.dim());
+ assert (n == L.dim());
Vector y;
- y.set_dim( n);
- out.set_dim(n);
+ y.set_dim (n);
+ out.set_dim (n);
// forward substitution
for (int i=0; i < n; i++) {
- Real sum(0.0);
+ Real sum (0.0);
for (int j=0; j < i; j++)
- sum += y(j) * L(i,j);
- y(i) = (rhs(i) - sum)/L(i,i);
+ sum += y (j) * L(i,j);
+ y (i) = (rhs (i) - sum)/L(i,i);
}
for (int i=0; i < n; i++)
- y(i) /= D(i);
+ y (i) /= D(i);
// backward subst
- Vector &x(out); // using input as return val.
+ Vector &x (out); // using input as return val.
for (int i=n-1; i >= 0; i--) {
- Real sum(0.0);
+ Real sum (0.0);
for (int j=i+1; j < n; j++)
- sum += L(j,i)*x(j);
- x(i) = (y(i) - sum)/L(i,i);
+ sum += L(j,i)*x (j);
+ x (i) = (y (i) - sum)/L(i,i);
}
}
void
-Choleski_decomposition::band_matrix_solve(Vector &out, Vector const &rhs)const
+Choleski_decomposition::band_matrix_solve (Vector &out, Vector const &rhs)const
{
int n= rhs.dim();
int b = L.band_i();
- assert(n == L.dim());
+ assert (n == L.dim());
- out.set_dim(n);
+ out.set_dim (n);
Vector y;
- y.set_dim(n);
+ y.set_dim (n);
// forward substitution
for (int i=0; i < n; i++) {
- Real sum(0.0);
+ Real sum (0.0);
for (int j= 0 >? i - b; j < i; j++)
- sum += y(j) * L(i,j);
- y(i) = (rhs(i) - sum)/L(i,i);
+ sum += y (j) * L(i,j);
+ y (i) = (rhs (i) - sum)/L(i,i);
}
for (int i=0; i < n; i++)
- y(i) /= D(i);
+ y (i) /= D(i);
// backward subst
- Vector &x(out); // using input as return val.
+ Vector &x (out); // using input as return val.
for (int i=n-1; i >= 0; i--) {
- Real sum(0.0);
+ Real sum (0.0);
for (int j=i+1; j <= i + b&&j < n ; j++)
- sum += L(j,i)*x(j);
- x(i) = (y(i) - sum)/L(i,i);
+ sum += L(j,i)*x (j);
+ x (i) = (y (i) - sum)/L(i,i);
}
}
void
-Choleski_decomposition::solve(Vector &x, Vector const &rhs)const
+Choleski_decomposition::solve (Vector &x, Vector const &rhs)const
{
if (L.band_b()) {
- band_matrix_solve(x,rhs);
+ band_matrix_solve (x,rhs);
} else
- full_matrix_solve(x,rhs);
+ full_matrix_solve (x,rhs);
}
Vector
-Choleski_decomposition::solve(Vector rhs)const
+Choleski_decomposition::solve (Vector rhs)const
{
Vector r;
- solve(r, rhs);
+ solve (r, rhs);
return r;
}
void
-Choleski_decomposition::full_matrix_decompose(Matrix const & P)
+Choleski_decomposition::full_matrix_decompose (Matrix const & P)
{
int n = P.dim();
L.unit();
for (int k= 0; k < n; k++) {
for (int j = 0; j < k; j++){
- Real sum(0.0);
+ Real sum (0.0);
for (int l=0; l < j; l++)
sum += L(k,l)*L(j,l)*D(l);
L(k,j) = (P(k,j) - sum)/D(j);
Real sum=0.0;
for (int l=0; l < k; l++)
- sum += sqr(L(k,l))*D(l);
+ sum += sqr (L(k,l))*D(l);
Real d = P(k,k) - sum;
D(k) = d;
}
}
void
-Choleski_decomposition::band_matrix_decompose(Matrix const &P)
+Choleski_decomposition::band_matrix_decompose (Matrix const &P)
{
int n = P.dim();
int b = P.band_i();
for (int i= 0; i < n; i++) {
for (int j = 0 >? i - b; j < i; j++){
- Real sum(0.0);
+ Real sum (0.0);
for (int l=0 >? i - b; l < j; l++)
sum += L(i,l)*L(j,l)*D(l);
L(i,j) = (P(i,j) - sum)/D(j);
Real sum=0.0;
for (int l=0 >? i - b; l < i; l++)
- sum += sqr(L(i,l))*D(l);
+ sum += sqr (L(i,l))*D(l);
Real d = P(i,i) - sum;
D(i) = d;
}
L.try_set_band();
- assert ( L.band_i() == P.band_i());
+ assert ( L.band_i() == P.band_i ());
}
Standard matrix algorithm.
*/
-Choleski_decomposition::Choleski_decomposition(Matrix const & P)
- : L(P.dim()), D(P.dim())
+Choleski_decomposition::Choleski_decomposition (Matrix const & P)
+ : L(P.dim()), D(P.dim ())
{
#ifdef PARANOID
- assert((P-P.transposed()).norm()/P.norm() < EPS);
+ assert ((P-P.transposed()).norm ()/P.norm () < EPS);
#endif
if (P.band_b())
- band_matrix_decompose(P);
+ band_matrix_decompose (P);
else
- full_matrix_decompose(P);
+ full_matrix_decompose (P);
#ifdef PARANOID
- assert((original()-P).norm() / P.norm() < EPS);
+ assert ((original()-P).norm () / P.norm () < EPS);
#endif
}
Choleski_decomposition::original() const
{
Matrix T(L.dim());
- T.set_diag(D);
+ T.set_diag (D);
return L*T*L.transposed();
}
Choleski_decomposition::inverse() const
{
int n=L.dim();
- Matrix invm(n);
- Vector e_i(n);
- Vector inv(n);
+ Matrix invm (n);
+ Vector e_i (n);
+ Vector inv (n);
for (int i = 0; i < n; i++) {
- e_i.set_unit(i);
- solve(inv, e_i);
+ e_i.set_unit (i);
+ solve (inv, e_i);
for (int j = 0 ; j<n; j++)
- invm(i,j) = inv(j);
+ invm (i,j) = inv (j);
}
#ifdef PARANOID
Matrix I1(n), I2(original());
I1.unit();
- assert((I1-I2*invm).norm()/I2.norm() < EPS);
+ assert ((I1-I2*invm).norm()/I2.norm () < EPS);
#endif
return invm;