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/*!
* \file
* \brief Cholesky factorisation test program
* \author Tony Ottosson and Adam Piatyszek
*
* -------------------------------------------------------------------------
*
* Copyright (C) 1995-2012 (see AUTHORS file for a list of contributors)
*
* This file is part of IT++ - a C++ library of mathematical, signal
* processing, speech processing, and communications classes and functions.
*
* IT++ 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 3 of the License, or (at your option) any
* later version.
*
* IT++ 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 IT++. If not, see <http://www.gnu.org/licenses/>.
*
* -------------------------------------------------------------------------
*/
#include <itpp/itstat.h>
#include "gtest/gtest.h"
using namespace itpp;
using namespace std;
TEST(Cholesky, All)
{
ostringstream ss(ostringstream::out);
const string ref[] = {"X = [[3.1227 -2.07284 4.95845 -0.526723 0.837649]\n\
[-2.07284 4.04154 -3.41073 2.58253 -2.42765]\n\
[4.95845 -3.41073 15.1747 -0.518676 0.767615]\n\
[-0.526723 2.58253 -0.518676 2.69632 -1.01246]\n\
[0.837649 -2.42765 0.767615 -1.01246 2.36107]]",
"X = [[3.84646+0i 0.263101+2.41269i 1.41977-0.156761i -4.66083+1.4819i -1.61119+0.105067i]\n\
[0.263101-2.41269i 6.52894+0i 1.83059+1.97006i -1.05794+4.01142i -1.20091+2.68544i]\n\
[1.41977+0.156761i 1.83059-1.97006i 5.8672+0i -0.433947+1.42927i -1.39383+0.665716i]\n\
[-4.66083-1.4819i -1.05794-4.01142i -0.433947-1.42927i 9.4098+0i 1.13971-1.30921i]\n\
[-1.61119-0.105067i -1.20091-2.68544i -1.39383-0.665716i 1.13971+1.30921i 3.75041+0i]]"};
int k = 0;
RNG_reset(0);
{
mat X, F;
bool ok = false;
while (!ok) {
X = randn(5, 5);
X = transpose(X) * X; // create a symmetric matrix
// Make diagonal real and positive
for (int i = 0; i < X.cols(); i++)
X(i, i) = std::abs(X(i, i));
ok = chol(X, F);
ASSERT_TRUE(ok);
ss << "X = " << round_to_zero(X);
ASSERT_TRUE(ss.str() == ref[k++]);
ss.str("");
ASSERT_EQ(0, round_to_zero(norm(X - transpose(F) * F)));
}
}
{
cmat X, F;
bool ok = false;
while (!ok) {
X = randn_c(5, 5);
X = hermitian_transpose(X) * X; // create a symmetric matrix
// Make diagonal real and positive
for (int i = 0; i < X.cols(); i++)
X(i, i) = std::abs(real(X(i, i)))
;
ok = chol(X, F);
ASSERT_TRUE(ok);
ss << "X = " << round_to_zero(X);
ASSERT_TRUE(ss.str() == ref[k++]);
ASSERT_NEAR(12.683, round_to_zero(norm(X - transpose(F) * F)), 1e-3);
}
}
}
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