DenseLinAlgPack_InvCholUpdate.hpp

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00004 // Moocho: Multi-functional Object-Oriented arCHitecture for Optimization
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00028 
00029 #ifndef INV_CHOL_UPDATE_H
00030 #define INV_CHOL_UPDATE_H
00031 
00032 #include "DenseLinAlgPack_Types.hpp"
00033 
00034 namespace DenseLinAlgPack {
00035 
00037 /* * Perform an update of the Cholesky factor of a symetric matrix (SM = L * L^T)
00038   * and while maintaining the triangular structure.
00039   *
00040   * This function permforms an update of L^T or L^-1 depending on whether
00041   * we are updating the cholesky factor or its inverse.  This function
00042   * implements algorithm A3.4.1 in Dennis and Schabel.  The update is:
00043   * (J_new^T = L_old^T + u * v^T) where J_new is rotated back to triangular form.
00044   *
00045   * Preconditions: <ul>
00046   * <li> UpTriM.rows() == UpTriM.cols() == u.size() == v.size() (throw std::length_error)
00047   * </ul>
00048   */
00049 void update_chol_factor(DMatrixSlice* UpTriM, DVectorSlice* u
00050   , const DVectorSlice& v);
00051 
00053 /* * Perform a jacobi rotation or a matrix about row i.
00054   *
00055   * Preconditions: <ul>
00056   * <li> UpTriM.rows() == UpTriM.cols() (throw std::length_error)
00057   * </ul>
00058   */
00059 void jacobi_rotate(DMatrixSlice* UpTriM, size_type row_i, value_type alpha
00060   , value_type beta); 
00061 
00062 } // end namespace DenseLinAlgPack
00063 
00064 #endif  // INV_CHOL_UPDATE_H
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