/**
* Performs a matrix inversion operations that takes advantage of the special
* properties of a covariance matrix.
*
* @param cov A covariance matrix. Not modified.
* @param cov_inv The inverse of cov. Modified.
* @return true if it could invert the matrix false if it could not.
*/
public static bool invert(DMatrixRMaj cov, DMatrixRMaj cov_inv)
{
if (cov.numCols <= 4)
{
if (cov.numCols != cov.numRows)
{
throw new ArgumentException("Must be a square matrix.");
}
if (cov.numCols >= 2)
{
UnrolledInverseFromMinor_DDRM.inv(cov, cov_inv);
}
else
{
cov_inv.data[0] = 1.0 / cov_inv.data[0];
}
}
else
{
LinearSolverDense <DMatrixRMaj> solver = LinearSolverFactory_DDRM.symmPosDef(cov.numRows);
// wrap it to make sure the covariance is not modified.
solver = new LinearSolverSafe <DMatrixRMaj>(solver);
if (!solver.setA(cov))
{
return(false);
}
solver.invert(cov_inv);
}
return(true);
}
/**
* <p>
* Solves for x in the following equation:<br>
* <br>
* A*x = b
* </p>
*
* <p>
* If the system could not be solved then false is returned. If it returns true
* that just means the algorithm finished operating, but the results could still be bad
* because 'A' is singular or nearly singular.
* </p>
*
* <p>
* If repeat calls to solve are being made then one should consider using {@link LinearSolverFactory_CDRM}
* instead.
* </p>
*
* <p>
* It is ok for 'b' and 'x' to be the same matrix.
* </p>
*
* @param a A matrix that is m by n. Not modified.
* @param b A matrix that is n by k. Not modified.
* @param x A matrix that is m by k. Modified.
*
* @return true if it could invert the matrix false if it could not.
*/
public static bool solve(CMatrixRMaj a, CMatrixRMaj b, CMatrixRMaj x)
{
LinearSolverDense <CMatrixRMaj> solver;
if (a.numCols == a.numRows)
{
solver = LinearSolverFactory_CDRM.lu(a.numRows);
}
else
{
solver = LinearSolverFactory_CDRM.qr(a.numRows, a.numCols);
}
// make sure the inputs 'a' and 'b' are not modified
solver = new LinearSolverSafe <CMatrixRMaj>(solver);
if (!solver.setA(a))
{
return(false);
}
solver.solve(b, x);
return(true);
}
