1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
|
namespace Eigen {
namespace internal {
template <typename Scalar>
void covar(
Matrix< Scalar, Dynamic, Dynamic > &r,
const VectorXi &ipvt,
Scalar tol = std::sqrt(NumTraits<Scalar>::epsilon()) )
{
using std::abs;
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);
eigen_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
|
