public void invert(DMatrixRBlock A_inv)
{
DMatrixRBlock T = decomposer.getT(null);
if (A_inv.numRows != T.numRows || A_inv.numCols != T.numCols)
{
throw new ArgumentException("Unexpected number or rows and/or columns");
}
// zero the upper triangular portion of A_inv
MatrixOps_DDRB.zeroTriangle(true, A_inv);
DSubmatrixD1 L = new DSubmatrixD1(T);
DSubmatrixD1 B = new DSubmatrixD1(A_inv);
// invert L from cholesky decomposition and write the solution into the lower
// triangular portion of A_inv
// B = inv(L)
TriangularSolver_DDRB.invert(blockLength, false, L, B, workspace);
// B = L^-T * B
// todo could speed up by taking advantage of B being lower triangular
// todo take advantage of symmetry
TriangularSolver_DDRB.solveL(blockLength, L, B, true);
}
private bool decomposeUpper()
{
int blockLength = T.blockLength;
subA.set(T);
subB.set(T);
subC.set(T);
for (int i = 0; i < T.numCols; i += blockLength)
{
int widthA = Math.Min(blockLength, T.numCols - i);
//@formatter:off
subA.col0 = i; subA.col1 = i + widthA;
subA.row0 = subA.col0; subA.row1 = subA.col1;
subB.col0 = i + widthA; subB.col1 = T.numCols;
subB.row0 = i; subB.row1 = i + widthA;
subC.col0 = i + widthA; subC.col1 = T.numCols;
subC.row0 = i + widthA; subC.row1 = T.numCols;
//@formatter:on
// cholesky on inner block A
if (!InnerCholesky_DDRB.upper(subA))
{
return(false);
}
// on the last block these operations are not needed.
if (widthA == blockLength)
{
// B = U^-1 B
TriangularSolver_DDRB.solveBlock(blockLength, true, subA, subB, true, false);
// C = C - B^T * B
InnerRankUpdate_DDRB.symmRankNMinus_U(blockLength, subC, subB);
}
}
MatrixOps_DDRB.zeroTriangle(false, T);
return(true);
}
