Re: [eigen] How far along is the sparse module?

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In data mercoledì 09 settembre 2009 11:17:58, bp ha scritto:
> I'm implementing the Levenberg-Marquardt algorithm using Eigen and
> I've come to the point where I need to optimize the central piece of
> the update:
> (see appendix for
> pseudo-code)
>     Scalar mu;    //damping factor
>     MatrixNxM J; //Jacobian
>     MatrixNxN H = 2*J*J.transpose();//pseudo Hessian
>     static const MatrixNxN I = MatrixNxN::Identity();
>     MatrixNxN H_i;
>     (H+mu*I).computeInverse(&H_i);// TODO: something more intelligent
> I need to take advantage of the fact that H is sparse, symmetric and
> positive definite.


You might have noticed that i'm working on porting (c)minpack to eigen, and 
this includes a Levenberg-Marquardt algorithm which works pretty well even in 
corner cases.

It is not yet available for sparse matrices/vectors, but i think it will be 
generic enough when finished to handle those.

see my previous mail "port of (c)minpack to eigen : status" for more 

best wishes,
Thomas Capricelli <orzel@xxxxxxxxxxxxxxx>

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