66 lines
2.0 KiB
C++
66 lines
2.0 KiB
C++
/*
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* Copyright (C) 2010-2011 Dynare Team
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*
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* This file is part of Dynare.
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*
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* Dynare is free software: you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation, either version 3 of the License, or
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* (at your option) any later version.
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*
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* Dynare is distributed in the hope that it will be useful,
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* but WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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* GNU General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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*/
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#ifndef _LAPACK_BINDINGS_HH
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#define _LAPACK_BINDINGS_HH
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#include <dynlapack.h>
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#include "Vector.hh"
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#include "Matrix.hh"
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namespace lapack
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{
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// calc Cholesky Decomposition (Mat A, char "U"pper/"L"ower)
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template<class Mat>
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inline int
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choleskyDecomp(Mat &A, const char *UL)
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{
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assert(A.getCols() == A.getRows());
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lapack_int lpinfo = 0;
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lapack_int lrows = A.getRows();
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lapack_int ldl = A.getLd();
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dpotrf(UL, &lrows, A.getData(), &ldl, &lpinfo);
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int info = (int) lpinfo;
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return info;
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}
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// calc Cholesky Decomposition based solution X to A*X=B
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// for A pos. def. and symmetric supplied as uppper/lower triangle
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// packed in a vector if UPLO = 'U', AP(i + (j-1)*j/2) = A(i,j) for 1<=i<=j;
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// solutino X is returned in B and if B_in=I then B_out=X=inv(A)
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// A_out contains uupper or lower Cholesky decomposition
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template<class VecA, class MatB>
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inline int
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choleskySolver(VecA &A, MatB &B, const char *UL)
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{
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//assert(A.getCols() == A.getRows());
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lapack_int lpinfo = 0;
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lapack_int size = B.getRows();
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lapack_int bcols = B.getCols();
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lapack_int ldl = B.getLd();
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dppsv(UL, &size, &bcols, A.getData(), B.getData(), &ldl, &lpinfo);
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int info = (int) lpinfo;
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return info;
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}
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} // End of namespace
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#endif
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