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