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author | Jim Guggemos <jimg@google.com> | 2012-12-04 16:46:41 -0700 |
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committer | Jim Guggemos <jimg@google.com> | 2012-12-04 17:08:38 -0700 |
commit | b015e75e8c7ba1ab4ddb91e9372a57e76f3fd159 (patch) | |
tree | 54d1c7d66098154c1d7c5bd414394ef4cf255810 /unsupported/Eigen/src/NonLinearOptimization/covar.h | |
parent | 63f67d748682b46d58be31235a0a2d64d81b998c (diff) | |
parent | c981c48f5bc9aefeffc0bcb0cc3934c2fae179dd (diff) | |
download | eigen-b015e75e8c7ba1ab4ddb91e9372a57e76f3fd159.tar.gz |
Merge 'goog/jb-mr1.1-dev' into platform/external/eigen.android-sdk-4.4.2_r1.0.1android-sdk-4.4.2_r1android-cts-4.4_r1android-4.4w_r1android-4.4_r0.7android-4.4.4_r2.0.1android-4.4.4_r2android-4.4.4_r1.0.1android-4.4.4_r1android-4.4.3_r1.1.0.1android-4.4.3_r1.1android-4.4.3_r1.0.1android-4.4.3_r1android-4.4.2_r2.0.1android-4.4.2_r2android-4.4.2_r1.0.1android-4.4.2_r1android-4.4.1_r1.0.1android-4.4.1_r1android-4.3_r3.1android-4.3_r3android-4.3.1_r1tools_r22.2tools_r22kitkat-wearkitkat-mr2.2-releasekitkat-mr2.1-releasekitkat-mr2-releasekitkat-mr1.1-releasekitkat-mr1-releasekitkat-devkitkat-cts-devjb-mr2.0.0-releasejb-mr2-devjb-mr1.1-dev-plus-aospjb-mr1-dev-plus-aospidea133-weekly-releaseidea133
Change-Id: Ic9004531328145ea36ba513bb96a23595427f6a4
Diffstat (limited to 'unsupported/Eigen/src/NonLinearOptimization/covar.h')
-rw-r--r-- | unsupported/Eigen/src/NonLinearOptimization/covar.h | 69 |
1 files changed, 69 insertions, 0 deletions
diff --git a/unsupported/Eigen/src/NonLinearOptimization/covar.h b/unsupported/Eigen/src/NonLinearOptimization/covar.h new file mode 100644 index 000000000..c73a09645 --- /dev/null +++ b/unsupported/Eigen/src/NonLinearOptimization/covar.h @@ -0,0 +1,69 @@ +namespace Eigen { + +namespace internal { + +template <typename Scalar> +void covar( + Matrix< Scalar, Dynamic, Dynamic > &r, + const VectorXi &ipvt, + Scalar tol = sqrt(NumTraits<Scalar>::epsilon()) ) +{ + typedef DenseIndex Index; + + /* Local variables */ + Index i, j, k, l, ii, jj; + bool sing; + Scalar temp; + + /* Function Body */ + const Index n = r.cols(); + const Scalar tolr = tol * abs(r(0,0)); + Matrix< Scalar, Dynamic, 1 > wa(n); + assert(ipvt.size()==n); + + /* form the inverse of r in the full upper triangle of r. */ + l = -1; + for (k = 0; k < n; ++k) + if (abs(r(k,k)) > tolr) { + r(k,k) = 1. / r(k,k); + for (j = 0; j <= k-1; ++j) { + temp = r(k,k) * r(j,k); + r(j,k) = 0.; + r.col(k).head(j+1) -= r.col(j).head(j+1) * temp; + } + l = k; + } + + /* form the full upper triangle of the inverse of (r transpose)*r */ + /* in the full upper triangle of r. */ + for (k = 0; k <= l; ++k) { + for (j = 0; j <= k-1; ++j) + r.col(j).head(j+1) += r.col(k).head(j+1) * r(j,k); + r.col(k).head(k+1) *= r(k,k); + } + + /* form the full lower triangle of the covariance matrix */ + /* in the strict lower triangle of r and in wa. */ + for (j = 0; j < n; ++j) { + jj = ipvt[j]; + sing = j > l; + for (i = 0; i <= j; ++i) { + if (sing) + r(i,j) = 0.; + ii = ipvt[i]; + if (ii > jj) + r(ii,jj) = r(i,j); + if (ii < jj) + r(jj,ii) = r(i,j); + } + wa[jj] = r(j,j); + } + + /* symmetrize the covariance matrix in r. */ + r.topLeftCorner(n,n).template triangularView<StrictlyUpper>() = r.topLeftCorner(n,n).transpose(); + r.diagonal() = wa; +} + +} // end namespace internal + +} // end namespace Eigen |