Squashed 'third_party/eigen/' content from commit 61d72f6
Change-Id: Iccc90fa0b55ab44037f018046d2fcffd90d9d025
git-subtree-dir: third_party/eigen
git-subtree-split: 61d72f6383cfa842868c53e30e087b0258177257
diff --git a/lapack/cholesky.cpp b/lapack/cholesky.cpp
new file mode 100644
index 0000000..ea3bc12
--- /dev/null
+++ b/lapack/cholesky.cpp
@@ -0,0 +1,72 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2010-2011 Gael Guennebaud <gael.guennebaud@inria.fr>
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#include "lapack_common.h"
+#include <Eigen/Cholesky>
+
+// POTRF computes the Cholesky factorization of a real symmetric positive definite matrix A.
+EIGEN_LAPACK_FUNC(potrf,(char* uplo, int *n, RealScalar *pa, int *lda, int *info))
+{
+ *info = 0;
+ if(UPLO(*uplo)==INVALID) *info = -1;
+ else if(*n<0) *info = -2;
+ else if(*lda<std::max(1,*n)) *info = -4;
+ if(*info!=0)
+ {
+ int e = -*info;
+ return xerbla_(SCALAR_SUFFIX_UP"POTRF", &e, 6);
+ }
+
+ Scalar* a = reinterpret_cast<Scalar*>(pa);
+ MatrixType A(a,*n,*n,*lda);
+ int ret;
+ if(UPLO(*uplo)==UP) ret = int(internal::llt_inplace<Scalar, Upper>::blocked(A));
+ else ret = int(internal::llt_inplace<Scalar, Lower>::blocked(A));
+
+ if(ret>=0)
+ *info = ret+1;
+
+ return 0;
+}
+
+// POTRS solves a system of linear equations A*X = B with a symmetric
+// positive definite matrix A using the Cholesky factorization
+// A = U**T*U or A = L*L**T computed by DPOTRF.
+EIGEN_LAPACK_FUNC(potrs,(char* uplo, int *n, int *nrhs, RealScalar *pa, int *lda, RealScalar *pb, int *ldb, int *info))
+{
+ *info = 0;
+ if(UPLO(*uplo)==INVALID) *info = -1;
+ else if(*n<0) *info = -2;
+ else if(*nrhs<0) *info = -3;
+ else if(*lda<std::max(1,*n)) *info = -5;
+ else if(*ldb<std::max(1,*n)) *info = -7;
+ if(*info!=0)
+ {
+ int e = -*info;
+ return xerbla_(SCALAR_SUFFIX_UP"POTRS", &e, 6);
+ }
+
+ Scalar* a = reinterpret_cast<Scalar*>(pa);
+ Scalar* b = reinterpret_cast<Scalar*>(pb);
+ MatrixType A(a,*n,*n,*lda);
+ MatrixType B(b,*n,*nrhs,*ldb);
+
+ if(UPLO(*uplo)==UP)
+ {
+ A.triangularView<Upper>().adjoint().solveInPlace(B);
+ A.triangularView<Upper>().solveInPlace(B);
+ }
+ else
+ {
+ A.triangularView<Lower>().solveInPlace(B);
+ A.triangularView<Lower>().adjoint().solveInPlace(B);
+ }
+
+ return 0;
+}