Looking at the source code
eigen-3.2.1/Eigen/src/SparseCholesky/SimplicialCholesky.h
one can see the undocumented public member function
inline const VectorType vectorD() const {
eigen_assert(Base::m_factorizationIsOk && "Simplicial Cholesky
not factorized");
return Base::m_diag;
}
Is vectorD() intended to be part of the Eigen API ?
It appears that in the case of an eigen LDL Cholesky factorization
http://eigen.tuxfamily.org/dox-devel/classEigen_1_1SimplicialLDLT.html
the LDL means the same as in
http://en.wikipedia.org/wiki/Cholesky_decomposition#LDL_decomposition
It also appears that vectorD() returns the diagonal of the D matrix
for this case.
Is this is true ? If so, one can uses these facts to directly compute
the log of the determinant.
On 4/3/2015 6:17 AM, Brad Bell wrote:
Looking at the documentation
http://eigen.tuxfamily.org/dox-devel/classEigen_1_1SimplicialLLT.html
there is a determinant member function
Scalar Eigen::SimplicialLLT< _MatrixType, _UpLo, _Ordering
>::determinant() const
For large matrices, the determinant often results in underflow or
overflow. Is there also a log-determinant function (to avoid this
problem) ?