ana::IncrementalCholeskyDecomp Class Reference

#include <IncrementalCholeskyDecomp.h>

Public Member Functions
	IncrementalCholeskyDecomp ()
	Initialize for a 0x0 matrix. More...
void	Extend ()
	Add one row and column of zeros. More...
void	SetLastRow (const std::vector< double > &row)
	This is of course also the right-most column... More...
void	SetLastRow (const std::vector< double > &bigrow, const std::vector< int > &idxs)
void	AddRow (const std::vector< double > &row)
void	AddRow (const std::vector< double > &row, const std::vector< int > &idxs)
std::vector< double >	Solve (const std::vector< double > &b) const
void	Print () const

Protected Attributes
std::vector< std::vector < double > >	fUpper

Detailed Description

Definition at line 8 of file IncrementalCholeskyDecomp.h.

Constructor & Destructor Documentation

ana::IncrementalCholeskyDecomp::IncrementalCholeskyDecomp ( )

inline

Initialize for a 0x0 matrix.

Definition at line 12 of file IncrementalCholeskyDecomp.h.

{}

Member Function Documentation

void ana::IncrementalCholeskyDecomp::AddRow ( const std::vector< double > &  row )

inline

Definition at line 23 of file IncrementalCholeskyDecomp.h.

    {
      Extend();
      SetLastRow(row);
    }

void ana::IncrementalCholeskyDecomp::AddRow ( const std::vector< double > &  row, const std::vector< int > &  idxs  )

inline

Definition at line 29 of file IncrementalCholeskyDecomp.h.

    {
      Extend();
      SetLastRow(row, idxs);
    }

void ana::IncrementalCholeskyDecomp::Extend

(

)

Add one row and column of zeros.

Definition at line 11 of file IncrementalCholeskyDecomp.cxx.

  {
    // First up, expand the decomp matrix
    for(std::vector<double>& row: fUpper) row.push_back(0); // extend each row
    fUpper.emplace_back(fUpper.size()+1, 0); // and add one more
  }

void ana::IncrementalCholeskyDecomp::Print

(

)

const

Definition at line 77 of file IncrementalCholeskyDecomp.cxx.

  {
    for(const std::vector<double>& row: fUpper){
      for(double v: row) std::cout << v << "\t";
      std::cout << std::endl;
    }
  }

void ana::IncrementalCholeskyDecomp::SetLastRow

(

const std::vector< double > &

row

)

This is of course also the right-most column...

Definition at line 19 of file IncrementalCholeskyDecomp.cxx.

  {
    // Implementation based on https://en.wikipedia.org/wiki/Cholesky_decomposition#Adding_and_removing_rows_and_columns

    const unsigned int N = fUpper.size();

    // S11 = L11  -- true automatically

    // S12 = L11^T \ A12
    for(unsigned int i = 0; i+1 < N; ++i){ // which row we're solving
      double res = row[i];
      for(unsigned int j = 0; j < i; ++j) res -= fUpper[j][i] * fUpper[j][N-1];
      if(res != 0) fUpper[i][N-1] = res/fUpper[i][i];
    }

    // S22 = chol(A22 - S12T S12)
    double dot = 0;
    for(unsigned int i = 0; i+1 < N; ++i) dot += util::sqr(fUpper[i][N-1]);
    fUpper[N-1][N-1] = sqrt(row[N-1] - dot);
  }

void ana::IncrementalCholeskyDecomp::SetLastRow	(	const std::vector< double > &	bigrow,
		const std::vector< int > &	idxs
	)

Definition at line 41 of file IncrementalCholeskyDecomp.cxx.

  {
    std::vector<double> row;
    row.reserve(idxs.size());
    for(int i: idxs) row.push_back(bigrow[i]);
    SetLastRow(row);
  }

std::vector< double > ana::IncrementalCholeskyDecomp::Solve

(

const std::vector< double > &

b

)

const

Definition at line 51 of file IncrementalCholeskyDecomp.cxx.

  {
    const unsigned int N = fUpper.size();

    // Solve Ly = b
    std::vector<double> y(N);

    for(unsigned int i = 0; i < N; ++i){ // which row we're solving
      double res = b[i];
      for(unsigned int j = 0; j < i; ++j) res -= fUpper[j][i] * y[j];
      if(res != 0) y[i] = res/fUpper[i][i];
    }

    // And now LTx = y
    std::vector<double> x(N);

    for(int i = N-1; i >= 0; --i){
      double res = y[i];
      for(unsigned int j = i+1; j < N; ++j) res -= fUpper[i][j] * x[j];
      if(res != 0) x[i] = res/fUpper[i][i];
    }

    return x;
  }

Member Data Documentation

std::vector<std::vector<double> > ana::IncrementalCholeskyDecomp::fUpper

protected

Definition at line 41 of file IncrementalCholeskyDecomp.h.

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The documentation for this class was generated from the following files:

• IncrementalCholeskyDecomp.h
• IncrementalCholeskyDecomp.cxx