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Diffstat (limited to 'btl/accuracy/lapack/lapack_cholesky.hh')
-rw-r--r-- | btl/accuracy/lapack/lapack_cholesky.hh | 54 |
1 files changed, 54 insertions, 0 deletions
diff --git a/btl/accuracy/lapack/lapack_cholesky.hh b/btl/accuracy/lapack/lapack_cholesky.hh new file mode 100644 index 0000000..c398c0a --- /dev/null +++ b/btl/accuracy/lapack/lapack_cholesky.hh @@ -0,0 +1,54 @@ +//===================================================== +// Copyright (C) 2011 Andrea Arteaga <andyspiros@gmail.com> +//===================================================== +// +// 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., 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. +// +#ifndef LAPACK_CHOLESKY_HH +#define LAPACK_CHOLESKY_HH + +#include "LinearCongruential.hh" +#include "diff.hh" + +double test_cholesky(const int& N, const unsigned& seed = 0) +{ + LinearCongruential lc(seed); + + vector<double> A(N*N), Acopy, test(N*N); + + /* Fill A (SPD), Acopy and test (identity) */ + for (int r = 0; r < N; ++r) { + A[r+r*N] = N; + test[r+r*N] = 1.; + for (int c = r; c < N; ++c) { + A[r+c*N] += lc.get_01(); + A[c+r*N] = A[r+c*N]; + } + } + Acopy = A; + + /* Compute decomposition */ + int info; + dpotrf_("L", &N, &A[0], &N, &info); + + /* Test */ + const double alpha = 1.; + dtrmm_("L", "L", "N", "N", &N, &N, &alpha, &A[0], &N, &test[0], &N); + dtrmm_("R", "L", "T", "N", &N, &N, &alpha, &A[0], &N, &test[0], &N); + + return diff(Acopy, test); + +} + +#endif /* LAPACK_CHOLESKY_HH */ |