chol.h

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/*

Copyright (C) 1994-2017 John W. Eaton
Copyright (C) 2008-2009 Jaroslav Hajek

This file is part of Octave.

Octave is free software; you can redistribute it and/or modify it
under the terms of the GNU General Public License as published by the
Free Software Foundation; either version 3 of the License, or (at your
option) any later version.

Octave is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
FITNESS FOR A PARTICULAR PURPOSE.  See the GNU General Public License
for more details.

You should have received a copy of the GNU General Public License
along with Octave; see the file COPYING.  If not, see
<http://www.gnu.org/licenses/>.

*/

#if ! defined (octave_chol_h)
#define octave_chol_h 1

#include "octave-config.h"

namespace octave
{
  namespace math
  {
    template <typename T>
    class
    chol
    {
    public:

      typedef typename T::column_vector_type VT;
      typedef typename T::real_elt_type COND_T;

      chol (void) : chol_mat (), xrcond (0) { }

      chol (const T& a, bool upper = true, bool calc_cond = false)
        : chol_mat (), xrcond (0)
      {
        init (a, upper, calc_cond);
      }

      chol (const T& a, octave_idx_type& info, bool upper = true,
            bool calc_cond = false)
        : chol_mat (), xrcond (0)
      {
        info = init (a, upper, calc_cond);
      }

      chol (const chol& a)
        : chol_mat (a.chol_mat), xrcond (a.xrcond) { }

      chol& operator = (const chol& a)
      {
        if (this != &a)
          {
            chol_mat = a.chol_mat;
            xrcond = a.xrcond;
          }

        return *this;
      }

      T chol_matrix (void) const { return chol_mat; }

      COND_T rcond (void) const { return xrcond; }

      // Compute the inverse of a matrix using the Cholesky factorization.
      T inverse (void) const;

      void set (const T& R);

      void update (const VT& u);

      octave_idx_type downdate (const VT& u);

      octave_idx_type insert_sym (const VT& u, octave_idx_type j);

      void delete_sym (octave_idx_type j);

      void shift_sym (octave_idx_type i, octave_idx_type j);

    private:

      T chol_mat;

      COND_T xrcond;

      bool is_upper;

      octave_idx_type init (const T& a, bool upper, bool calc_cond);
    };

    template <typename T>
    T
    chol2inv (const T& r);
  }
}

#endif