new back-substitution functions that can do unit triangular solves

cpp/GaussianConditional.cpp

@@ -101,7 +101,7 @@ Vector GaussianConditional::solve(const VectorConfig& x) const {
 		const Matrix& Aj = it->second;
 		rhs -= Aj * x[j];
 	}
-	Vector result = backsubstitution(R_, rhs);
+	Vector result = backSubstituteUpper(R_, rhs, true);
 	return result;
 }
 

cpp/Matrix.cpp

@@ -405,33 +405,43 @@ void householder(Matrix &A, size_t k) {
 }
 
 /* ************************************************************************* */
-Vector backsubstitution(const Matrix& R, const Vector& b)
+Vector backSubstituteUpper(const Matrix& U, const Vector& b, bool unit) {
-{
+	size_t m = U.size1(), n = U.size2();
-  // result vector
+#ifndef NDEBUG
-  Vector result(b.size());
+	if (m!=n)
+		throw invalid_argument("backSubstituteUpper: U must be square");
+#endif
 
-  double tmp = 0.0;
+	Vector result(n);
-  double div = 0.0;
+	for (size_t i = n; i > 0; i--) {
+		double tmp = b(i-1);
+		for (size_t j = i+1; j <= n; j++)
+			tmp -= U(i-1,j-1) * result(j-1);
+		if (!unit) tmp /= U(i-1,i-1);
+		result(i-1) = tmp;
+	}
 
-  int m = R.size1(), n = R.size2(), cols=n;
+	return result;
+}
 
-  // check each row for non zero values
+/* ************************************************************************* */
-  for( size_t i = m ; i > 0 ; i--){
+Vector backSubstituteLower(const Matrix& L, const Vector& b, bool unit) {
-    cols--;
+	size_t m = L.size1(), n = L.size2();
-    int j = n;
+#ifndef NDEBUG
+	if (m!=n)
+		throw invalid_argument("backSubstituteLower: L must be square");
+#endif
 
-    div = R(i-1, cols);
+	Vector result(n);
+	for (size_t i = 1; i <= n; i++) {
+		double tmp = b(i-1);
+		for (size_t j = 1; j < i; j++)
+			tmp -= L(i-1,j-1) * result(j-1);
+		if (!unit) tmp /= L(i-1,i-1);
+		result(i-1) = tmp;
+	}
 
-    for( int ii = i ; ii < n ; ii++ ){
+	return result;
-      j = j - 1;
-      tmp = tmp + R(i-1,j) * result(j);
-    }
-    // assigne the result vector
-    result(i-1) = (b(i-1) - tmp) / div;
-    tmp = 0.0;
-  }
-
-  return result;
 }
 
 /* ************************************************************************* */

cpp/Matrix.h

@@ -207,12 +207,24 @@ void householder_(Matrix& A, size_t k);
 void householder(Matrix& A, size_t k);
 
 /**
- * backsubstitution
+ * backSubstitute U*x=b
- * @param R an upper triangular matrix
+ * @param U an upper triangular matrix
  * @param b a RHS vector
- * @return the solution of Rx=b
+ * @param unit, set tru if unit triangular
+ * @return the solution x of U*x=b
+ * TODO: use boost
+ */
+Vector backSubstituteUpper(const Matrix& U, const Vector& b, bool unit=false);
+
+/**
+ * backSubstitute L*x=b
+ * @param L an lower triangular matrix
+ * @param b a RHS vector
+ * @param unit, set tru if unit triangular
+ * @return the solution x of L*x=b
+ * TODO: use boost
  */ 
-Vector backsubstitution(const Matrix& R, const Vector& b);
+Vector backSubstituteLower(const Matrix& L, const Vector& d, bool unit=false);
 
 /**
  * create a matrix by stacking other matrices

cpp/testMatrix.cpp

@@ -386,38 +386,34 @@ TEST( matrix, inverse )
   CHECK(assert_equal(expected, Ainv, 1e-4));
 }
 
-/* ************************************************************************* */
-/* unit test for backsubstitution                                           */
 /* ************************************************************************* */
 TEST( matrix, backsubtitution )
 {
-  // TEST ONE  2x2 matrix
+	// TEST ONE  2x2 matrix U1*x=b1
-  Vector expectedA(2);
+	Vector expected1 = Vector_(2, 3.6250, -0.75);
-  expectedA(0) = 3.6250 ; expectedA(1) = -0.75;
+	Matrix U1 = Matrix_(2, 2,
+			2., 3.,
+			0., 4.);
+	Vector b1 = U1*expected1;
+	CHECK( assert_equal(expected1 , backSubstituteUpper(U1, b1), 0.000001));
 
-  // create a 2x2 matrix
+	// TEST TWO  3x3 matrix U2*x=b2
-  double dataA[] = {2, 3,
+	Vector expected2 = Vector_(3, 5.5, -8.5, 5.);
-                    0, 4 };
+	Matrix U2 = Matrix_(3, 3,
-  Matrix A = Matrix_(2,2,dataA);
+			3., 5., 6.,
-  Vector Ab(2); Ab(0) = 5; Ab(1) = -3;
+			0., 2., 3.,
+			0., 0., 1.);
+	Vector b2 = U2*expected2;
+	CHECK( assert_equal(expected2 , backSubstituteUpper(U2, b2), 0.000001));
 
-  CHECK( assert_equal(expectedA , backsubstitution(A, Ab), 0.000001));
+	// TEST THREE  Lower triangular 3x3 matrix L3*x=b3
-
+	Vector expected3 = Vector_(3, 1., 1., 1.);
-  // TEST TWO  3x3 matrix
+	Matrix L3 = Matrix_(3, 3,
-  Vector expectedB(3);
+			3., 0., 0.,
-  expectedB(0) = 5.5 ; expectedB(1) = -8.5; expectedB(2) = 5;
+			5., 2., 0.,
-
+			6., 3., 1.);
-
+	Vector b3 = L3*expected3;
-  // create a 3x3 matrix
+	CHECK( assert_equal(expected3 , backSubstituteLower(L3, b3), 0.000001));
-  double dataB[] = { 3, 5, 6,
-                     0, 2, 3,
-                     0, 0, 1 };
-  Matrix B = Matrix_(3,3,dataB);
-
-  Vector Bb(3);
-  Bb(0) = 4;	Bb(1) = -2; Bb(2) = 5;
-
-  CHECK( assert_equal(expectedB , backsubstitution(B, Bb), 0.000001));
 }
 
 /* ************************************************************************* */