DenseCholesky.h

// Copyright (C) 2016-2022 Yixuan Qiu <yixuan.qiu@cos.name>
//
// This Source Code Form is subject to the terms of the Mozilla
// Public License v. 2.0. If a copy of the MPL was not distributed
// with this file, You can obtain one at https://mozilla.org/MPL/2.0/.
 
#ifndef SPECTRA_DENSE_CHOLESKY_H
#define SPECTRA_DENSE_CHOLESKY_H
 
#include <Eigen/Core>
#include <Eigen/Cholesky>
#include <stdexcept>
 
#include "../Util/CompInfo.h"
 
namespace Spectra {
 
template <typename Scalar_, int Uplo = Eigen::Lower, int Flags = Eigen::ColMajor>
class DenseCholesky
{
public:
    using Scalar = Scalar_;
 
private:
    using Index = Eigen::Index;
    using Matrix = Eigen::Matrix<Scalar, Eigen::Dynamic, Eigen::Dynamic, Flags>;
    using Vector = Eigen::Matrix<Scalar, Eigen::Dynamic, 1>;
    using MapConstVec = Eigen::Map<const Vector>;
    using MapVec = Eigen::Map<Vector>;
 
    const Index m_n;
    Eigen::LLT<Matrix, Uplo> m_decomp;
    CompInfo m_info;  // status of the decomposition
 
public:
    template <typename Derived>
    DenseCholesky(const Eigen::MatrixBase<Derived>& mat) :
        m_n(mat.rows()), m_info(CompInfo::NotComputed)
    {
        static_assert(
            static_cast<int>(Derived::PlainObject::IsRowMajor) == static_cast<int>(Matrix::IsRowMajor),
            "DenseCholesky: the \"Flags\" template parameter does not match the input matrix (Eigen::ColMajor/Eigen::RowMajor)");
 
        if (m_n != mat.cols())
            throw std::invalid_argument("DenseCholesky: matrix must be square");
 
        m_decomp.compute(mat);
        m_info = (m_decomp.info() == Eigen::Success) ?
            CompInfo::Successful :
            CompInfo::NumericalIssue;
    }
 
    Index rows() const { return m_n; }
    Index cols() const { return m_n; }
 
    CompInfo info() const { return m_info; }
 
    // y_out = inv(L) * x_in
    void lower_triangular_solve(const Scalar* x_in, Scalar* y_out) const
    {
        MapConstVec x(x_in, m_n);
        MapVec y(y_out, m_n);
        y.noalias() = m_decomp.matrixL().solve(x);
    }
 
    // y_out = inv(L') * x_in
    void upper_triangular_solve(const Scalar* x_in, Scalar* y_out) const
    {
        MapConstVec x(x_in, m_n);
        MapVec y(y_out, m_n);
        y.noalias() = m_decomp.matrixU().solve(x);
    }
};
 
}  // namespace Spectra
 
#endif  // SPECTRA_DENSE_CHOLESKY_H