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cholesky factorization with rounding to zero

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nojhan 2011-11-15 17:10:46 +01:00
commit 9decda0c6a
2 changed files with 61 additions and 3 deletions
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12
edo/test/t-cholesky.cpp
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@ -158,9 +158,10 @@ int main(int argc, char** argv)
edoSamplerNormalMulti<EOT,EOD>::Cholesky LLT( edoSamplerNormalMulti<EOT,EOD>::Cholesky::standard );
edoSamplerNormalMulti<EOT,EOD>::Cholesky LLTa( edoSamplerNormalMulti<EOT,EOD>::Cholesky::absolute );
edoSamplerNormalMulti<EOT,EOD>::Cholesky LLTz( edoSamplerNormalMulti<EOT,EOD>::Cholesky::zeroing );
edoSamplerNormalMulti<EOT,EOD>::Cholesky LDLT( edoSamplerNormalMulti<EOT,EOD>::Cholesky::robust );
std::vector<double> s0,s1,s2;
std::vector<double> s0,s1,s2,s3;
for( unsigned int n=0; n<R; ++n ) {
// a variance-covariance matrix of size N*N
@ -182,15 +183,20 @@ int main(int argc, char** argv)
CovarMat V1 = ublas::prod( L1, ublas::trans(L1) );
s1.push_back( trigsum(error(V,V1)) );
FactorMat L2 = LDLT(V);
FactorMat L2 = LLTz(V);
CovarMat V2 = ublas::prod( L2, ublas::trans(L2) );
s2.push_back( trigsum(error(V,V2)) );
FactorMat L3 = LDLT(V);
CovarMat V3 = ublas::prod( L3, ublas::trans(L3) );
s3.push_back( trigsum(error(V,V3)) );
}
std::cout << "Average error:" << std::endl;
std::cout << "\tLLT: " << sum(s0)/R << std::endl;
std::cout << "\tLLTa: " << sum(s1)/R << std::endl;
std::cout << "\tLDLT: " << sum(s2)/R << std::endl;
std::cout << "\tLLTz: " << sum(s2)/R << std::endl;
std::cout << "\tLDLT: " << sum(s3)/R << std::endl;
// double precision = 1e-15;
// if( argc >= 4 ) {