CholeskyInverse.h

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/*
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#ifndef _MIRA_CHOLESKYINVERSE_H_
#define _MIRA_CHOLESKYINVERSE_H_

#include <platform/Platform.h>

#include <Eigen/Eigen>

namespace mira {


template <typename Derived>
typename Eigen::MatrixBase<Derived>::PlainObject choleskyInverse(const Eigen::MatrixBase<Derived>& m)
{
    typedef typename Eigen::MatrixBase<Derived>::PlainObject Mat;
    Mat L = m.llt().matrixL();
    // TODO: we can speed up computing the inverse by exploiting the triangular structure of L
    Mat K = L.inverse();
    return K.transpose() * K;
}


} // namespace

#endif