DenseLinAlgPack_InvCholUpdate.hpp

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// Moocho: Multi-functional Object-Oriented arCHitecture for Optimization
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#ifndef INV_CHOL_UPDATE_H
#define INV_CHOL_UPDATE_H

#include "DenseLinAlgPack_Types.hpp"

namespace DenseLinAlgPack {

/* * Perform an update of the Cholesky factor of a symetric matrix (SM = L * L^T)
  * and while maintaining the triangular structure.
  *
  * This function permforms an update of L^T or L^-1 depending on whether
  * we are updating the cholesky factor or its inverse.  This function
  * implements algorithm A3.4.1 in Dennis and Schabel.  The update is:
  * (J_new^T = L_old^T + u * v^T) where J_new is rotated back to triangular form.
  *
  * Preconditions: <ul>
  * <li> UpTriM.rows() == UpTriM.cols() == u.size() == v.size() (throw std::length_error)
  * </ul>
  */
void update_chol_factor(DMatrixSlice* UpTriM, DVectorSlice* u
  , const DVectorSlice& v);

/* * Perform a jacobi rotation or a matrix about row i.
  *
  * Preconditions: <ul>
  * <li> UpTriM.rows() == UpTriM.cols() (throw std::length_error)
  * </ul>
  */
void jacobi_rotate(DMatrixSlice* UpTriM, size_type row_i, value_type alpha
  , value_type beta); 

} // end namespace DenseLinAlgPack

#endif  // INV_CHOL_UPDATE_H