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the complete robust cholesky factorization -- bugfix in LDLT: return the factorization LD^1/2 instead of L, thus no needs of accessors on D

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nojhan 2011-11-12 20:13:18 +01:00
commit e0f691c148
2 changed files with 33 additions and 29 deletions
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8
edo/test/t-cholesky.cpp
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@ -85,12 +85,8 @@ int main(int argc, char** argv)
std::cout << "-----------------------------------------------------------" << std::endl;
MatrixType L2 = LDLT(V);
MatrixType D2 = LDLT.diagonal();
std::cout << "LDLT" << std::endl << L2 << std::endl;
// ublas do not allow nested products, we should use a temporary matrix,
// thus the inline instanciation of a MatrixType
// see: http://www.crystalclearsoftware.com/cgi-bin/boost_wiki/wiki.pl?Effective_UBLAS
MatrixType V2 = ublas::prod( MatrixType(ublas::prod( L2, D2 )), ublas::trans(L2) );
std::cout << "LDLT: L" << std::endl << L2 << std::endl;
MatrixType V2 = ublas::prod( L2, ublas::trans(L2) );
std::cout << "LDLT covar" << std::endl << V2 << std::endl;
std::cout << "-----------------------------------------------------------" << std::endl;