1 files changed, 49 insertions, 0 deletions
diff --git a/unsupported/Eigen/src/NonLinearOptimization/rwupdt.h b/unsupported/Eigen/src/NonLinearOptimization/rwupdt.h
new file mode 100644
index 000000000..9ce079e22
--- /dev/null
+++ b/unsupported/Eigen/src/NonLinearOptimization/rwupdt.h
@@ -0,0 +1,49 @@
+namespace Eigen { 
+
+namespace internal {
+
+template <typename Scalar>
+void rwupdt(
+        Matrix< Scalar, Dynamic, Dynamic >  &r,
+        const Matrix< Scalar, Dynamic, 1>  &w,
+        Matrix< Scalar, Dynamic, 1>  &b,
+        Scalar alpha)
+{
+    typedef DenseIndex Index;
+
+    const Index n = r.cols();
+    assert(r.rows()>=n);
+    std::vector<JacobiRotation<Scalar> > givens(n);
+
+    /* Local variables */
+    Scalar temp, rowj;
+
+    /* Function Body */
+    for (Index j = 0; j < n; ++j) {
+        rowj = w[j];
+
+        /* apply the previous transformations to */
+        /* r(i,j), i=0,1,...,j-1, and to w(j). */
+        for (Index i = 0; i < j; ++i) {
+            temp = givens[i].c() * r(i,j) + givens[i].s() * rowj;
+            rowj = -givens[i].s() * r(i,j) + givens[i].c() * rowj;
+            r(i,j) = temp;
+        }
+
+        /* determine a givens rotation which eliminates w(j). */
+        givens[j].makeGivens(-r(j,j), rowj);
+
+        if (rowj == 0.)
+            continue; // givens[j] is identity
+
+        /* apply the current transformation to r(j,j), b(j), and alpha. */
+        r(j,j) = givens[j].c() * r(j,j) + givens[j].s() * rowj;
+        temp = givens[j].c() * b[j] + givens[j].s() * alpha;
+        alpha = -givens[j].s() * b[j] + givens[j].c() * alpha;
+        b[j] = temp;
+    }
+}
+
+} // end namespace internal
+
+} // end namespace Eigen