Re: [eigen] LU decomposition with partial pivoting ?

[Gael Guennebaud <gael.guennebaud@xxxxxxxxx>]

Hi,

in the devel branch we already have partial pivoting LU with a quite efficient blocked implementation.

I strongly encourage you to switch to the devel branch. Perhaps, the only annoying thing with the devel branch is that the doc is not up to date everywhere...

gael.

On Wed, May 5, 2010 at 4:41 PM, <vincent.lejeune@xxxxxxxxxx> wrote:

Hi,



it seems that the LU decomposition routine provided by Eigen are doing

full pivoting.

However, LU decomposition in Lapack is done with only partial pivoting

(see DGETRF).



I was wondering if it was planned to expose a routine that do only partial

pivoting (ie swap of rows only, not columns).

Although full pivoting give better result in term of precisions, it is

usually slower, because of cache unfriendlyness. On the other hand, partial

pivoting allow to "tile" the LU algorithm, allowing more parallelisation

for very big matrix...It would be easier to use gpu computing capabilities

if the algorithm do partial pivoting only.



Regards,

Vincent.