Eigen/src/Cholesky/LLT_MKL.h

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 ********************************************************************************
 *   Content : Eigen bindings to Intel(R) MKL
 *     LLt decomposition based on LAPACKE_?potrf function.
 ********************************************************************************
*/

#ifndef EIGEN_LLT_MKL_H
#define EIGEN_LLT_MKL_H

#include "Eigen/src/Core/util/MKL_support.h"
#include <iostream>

namespace Eigen { 

namespace internal {

template<typename Scalar> struct mkl_llt;

#define EIGEN_MKL_LLT(EIGTYPE, MKLTYPE, MKLPREFIX) \
template<> struct mkl_llt<EIGTYPE> \
{ \
  template<typename MatrixType> \
  static inline typename MatrixType::Index potrf(MatrixType& m, char uplo) \
  { \
    lapack_int matrix_order; \
    lapack_int size, lda, info, StorageOrder; \
    EIGTYPE* a; \
    eigen_assert(m.rows()==m.cols()); \
    /* Set up parameters for ?potrf */ \
    size = m.rows(); \
    StorageOrder = MatrixType::Flags&RowMajorBit?RowMajor:ColMajor; \
    matrix_order = StorageOrder==RowMajor ? LAPACK_ROW_MAJOR : LAPACK_COL_MAJOR; \
    a = &(m.coeffRef(0,0)); \
    lda = m.outerStride(); \
\
    info = LAPACKE_##MKLPREFIX##potrf( matrix_order, uplo, size, (MKLTYPE*)a, lda ); \
    info = (info==0) ? Success : NumericalIssue; \
    return info; \
  } \
}; \
template<> struct llt_inplace<EIGTYPE, Lower> \
{ \
  template<typename MatrixType> \
  static typename MatrixType::Index blocked(MatrixType& m) \
  { \
    return mkl_llt<EIGTYPE>::potrf(m, 'L'); \
  } \
  template<typename MatrixType, typename VectorType> \
  static typename MatrixType::Index rankUpdate(MatrixType& mat, const VectorType& vec, const typename MatrixType::RealScalar& sigma) \
  { return Eigen::internal::llt_rank_update_lower(mat, vec, sigma); } \
}; \
template<> struct llt_inplace<EIGTYPE, Upper> \
{ \
  template<typename MatrixType> \
  static typename MatrixType::Index blocked(MatrixType& m) \
  { \
    return mkl_llt<EIGTYPE>::potrf(m, 'U'); \
  } \
  template<typename MatrixType, typename VectorType> \
  static typename MatrixType::Index rankUpdate(MatrixType& mat, const VectorType& vec, const typename MatrixType::RealScalar& sigma) \
  { \
    Transpose<MatrixType> matt(mat); \
    return llt_inplace<EIGTYPE, Lower>::rankUpdate(matt, vec.conjugate(), sigma); \
  } \
};

EIGEN_MKL_LLT(double, double, d)
EIGEN_MKL_LLT(float, float, s)
EIGEN_MKL_LLT(dcomplex, MKL_Complex16, z)
EIGEN_MKL_LLT(scomplex, MKL_Complex8, c)

} // end namespace internal

} // end namespace Eigen

#endif // EIGEN_LLT_MKL_H