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/lu.cpp b/lapack/lu.cpp
new file mode 100644
index 0000000..90cebe0
--- /dev/null
+++ b/lapack/lu.cpp
@@ -0,0 +1,89 @@
+// 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 "common.h"
+#include <Eigen/LU>
+
+// computes an LU factorization of a general M-by-N matrix A using partial pivoting with row interchanges
+EIGEN_LAPACK_FUNC(getrf,(int *m, int *n, RealScalar *pa, int *lda, int *ipiv, int *info))
+{
+ *info = 0;
+ if(*m<0) *info = -1;
+ else if(*n<0) *info = -2;
+ else if(*lda<std::max(1,*m)) *info = -4;
+ if(*info!=0)
+ {
+ int e = -*info;
+ return xerbla_(SCALAR_SUFFIX_UP"GETRF", &e, 6);
+ }
+
+ if(*m==0 || *n==0)
+ return 0;
+
+ Scalar* a = reinterpret_cast<Scalar*>(pa);
+ int nb_transpositions;
+ int ret = int(Eigen::internal::partial_lu_impl<Scalar,ColMajor,int>
+ ::blocked_lu(*m, *n, a, *lda, ipiv, nb_transpositions));
+
+ for(int i=0; i<std::min(*m,*n); ++i)
+ ipiv[i]++;
+
+ if(ret>=0)
+ *info = ret+1;
+
+ return 0;
+}
+
+//GETRS solves a system of linear equations
+// A * X = B or A' * X = B
+// with a general N-by-N matrix A using the LU factorization computed by GETRF
+EIGEN_LAPACK_FUNC(getrs,(char *trans, int *n, int *nrhs, RealScalar *pa, int *lda, int *ipiv, RealScalar *pb, int *ldb, int *info))
+{
+ *info = 0;
+ if(OP(*trans)==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 = -8;
+ if(*info!=0)
+ {
+ int e = -*info;
+ return xerbla_(SCALAR_SUFFIX_UP"GETRS", &e, 6);
+ }
+
+ Scalar* a = reinterpret_cast<Scalar*>(pa);
+ Scalar* b = reinterpret_cast<Scalar*>(pb);
+ MatrixType lu(a,*n,*n,*lda);
+ MatrixType B(b,*n,*nrhs,*ldb);
+
+ for(int i=0; i<*n; ++i)
+ ipiv[i]--;
+ if(OP(*trans)==NOTR)
+ {
+ B = PivotsType(ipiv,*n) * B;
+ lu.triangularView<UnitLower>().solveInPlace(B);
+ lu.triangularView<Upper>().solveInPlace(B);
+ }
+ else if(OP(*trans)==TR)
+ {
+ lu.triangularView<Upper>().transpose().solveInPlace(B);
+ lu.triangularView<UnitLower>().transpose().solveInPlace(B);
+ B = PivotsType(ipiv,*n).transpose() * B;
+ }
+ else if(OP(*trans)==ADJ)
+ {
+ lu.triangularView<Upper>().adjoint().solveInPlace(B);
+ lu.triangularView<UnitLower>().adjoint().solveInPlace(B);
+ B = PivotsType(ipiv,*n).transpose() * B;
+ }
+ for(int i=0; i<*n; ++i)
+ ipiv[i]++;
+
+ return 0;
+}