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/*!
* \file
* \brief Implementation of Cholesky factorisation functions
* \author Tony Ottosson
*
* -------------------------------------------------------------------------
*
* IT++ - C++ library of mathematical, signal processing, speech processing,
* and communications classes and functions
*
* Copyright (C) 1995-2008 (see AUTHORS file for a list of contributors)
*
* This program is free software; you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation; either version 2 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program; if not, write to the Free Software
* Foundation, Inc., 51 Franklin St, Fifth Floor, Boston, MA 02110-1301 USA
*
* -------------------------------------------------------------------------
*/
#ifndef _MSC_VER
# include <itpp/config.h>
#else
# include <itpp/config_msvc.h>
#endif
#if defined(HAVE_LAPACK)
# include <itpp/base/algebra/lapack.h>
#endif
#include <itpp/base/algebra/cholesky.h>
namespace itpp {
#if defined(HAVE_LAPACK)
bool chol(const mat &X, mat &F)
{
char uplo='U';
int n, lda, info;
n = lda = X.rows();
F = X; // input matrix is overwritten
dpotrf_(&uplo, &n, F._data(), &lda, &info);
// Set lower part to zero
for (int i=0; i<n; i++)
for(int j=i+1; j<n; j++)
F(j,i) = 0;
return (info==0);
}
bool chol(const cmat &X, cmat &F)
{
char uplo='U';
int n, lda, info;
n = lda = X.rows();
F = X; // input matrix is overwritten
zpotrf_(&uplo, &n, F._data(), &lda, &info);
// Set lower part to zero
for (int i=0; i<n; i++)
for(int j=i+1; j<n; j++)
F(j,i) = 0;
return (info==0);
}
#else // HAVE_LAPACK
bool chol(const mat &X, mat &F)
{
it_error("LAPACK library is needed to use chol() function");
return false;
}
bool chol(const cmat &X, cmat &F)
{
it_error("LAPACK library is needed to use chol() function");
return false;
}
#endif // HAVE_LAPACK
cmat chol(const cmat &X)
{
cmat F;
if (!chol(X, F)) {
it_warning("cholesky factorization didn't succeed");
}
return F;
}
mat chol(const mat &X)
{
mat F;
if (!chol(X, F)) {
it_warning("cholesky factorization didn't succeed");
}
return F;
}
} // namespace itpp
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