@lakutata/math 0.0.0-stage → 3.1.5

package/vendor/eigen/Eigen/src/Cholesky/LDLT.h

@@ -0,0 +1,649 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2008-2011 Gael Guennebaud <gael.guennebaud@inria.fr>
+// Copyright (C) 2009 Keir Mierle <mierle@gmail.com>
+// Copyright (C) 2009 Benoit Jacob <jacob.benoit.1@gmail.com>
+// Copyright (C) 2011 Timothy E. Holy <tim.holy@gmail.com >
+//
+// This Source Code Form is subject to the terms of the Mozilla
+// Public License v. 2.0. If a copy of the MPL was not distributed
+// with this file, You can obtain one at http://mozilla.org/MPL/2.0/.
+
+#ifndef EIGEN_LDLT_H
+#define EIGEN_LDLT_H
+
+// IWYU pragma: private
+#include "./InternalHeaderCheck.h"
+
+namespace Eigen {
+
+namespace internal {
+template <typename MatrixType_, int UpLo_>
+struct traits<LDLT<MatrixType_, UpLo_> > : traits<MatrixType_> {
+  typedef MatrixXpr XprKind;
+  typedef SolverStorage StorageKind;
+  typedef int StorageIndex;
+  enum { Flags = 0 };
+};
+
+template <typename MatrixType, int UpLo>
+struct LDLT_Traits;
+
+// PositiveSemiDef means positive semi-definite and non-zero; same for NegativeSemiDef
+enum SignMatrix { PositiveSemiDef, NegativeSemiDef, ZeroSign, Indefinite };
+}  // namespace internal
+
+/** \ingroup Cholesky_Module
+ *
+ * \class LDLT
+ *
+ * \brief Robust Cholesky decomposition of a matrix with pivoting
+ *
+ * \tparam MatrixType_ the type of the matrix of which to compute the LDL^T Cholesky decomposition
+ * \tparam UpLo_ the triangular part that will be used for the decomposition: Lower (default) or Upper.
+ *             The other triangular part won't be read.
+ *
+ * Perform a robust Cholesky decomposition of a positive semidefinite or negative semidefinite
+ * matrix \f$ A \f$ such that \f$ A =  P^TLDL^*P \f$, where P is a permutation matrix, L
+ * is lower triangular with a unit diagonal and D is a diagonal matrix.
+ *
+ * The decomposition uses pivoting to ensure stability, so that D will have
+ * zeros in the bottom right rank(A) - n submatrix. Avoiding the square root
+ * on D also stabilizes the computation.
+ *
+ * Remember that Cholesky decompositions are not rank-revealing. Also, do not use a Cholesky
+ * decomposition to determine whether a system of equations has a solution.
+ *
+ * This class supports the \link InplaceDecomposition inplace decomposition \endlink mechanism.
+ *
+ * \sa MatrixBase::ldlt(), SelfAdjointView::ldlt(), class LLT
+ */
+template <typename MatrixType_, int UpLo_>
+class LDLT : public SolverBase<LDLT<MatrixType_, UpLo_> > {
+ public:
+  typedef MatrixType_ MatrixType;
+  typedef SolverBase<LDLT> Base;
+  friend class SolverBase<LDLT>;
+
+  EIGEN_GENERIC_PUBLIC_INTERFACE(LDLT)
+  enum {
+    MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
+    MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime,
+    UpLo = UpLo_
+  };
+  typedef Matrix<Scalar, RowsAtCompileTime, 1, 0, MaxRowsAtCompileTime, 1> TmpMatrixType;
+
+  typedef Transpositions<RowsAtCompileTime, MaxRowsAtCompileTime> TranspositionType;
+  typedef PermutationMatrix<RowsAtCompileTime, MaxRowsAtCompileTime> PermutationType;
+
+  typedef internal::LDLT_Traits<MatrixType, UpLo> Traits;
+
+  /** \brief Default Constructor.
+   *
+   * The default constructor is useful in cases in which the user intends to
+   * perform decompositions via LDLT::compute(const MatrixType&).
+   */
+  LDLT() : m_matrix(), m_transpositions(), m_sign(internal::ZeroSign), m_isInitialized(false) {}
+
+  /** \brief Default Constructor with memory preallocation
+   *
+   * Like the default constructor but with preallocation of the internal data
+   * according to the specified problem \a size.
+   * \sa LDLT()
+   */
+  explicit LDLT(Index size)
+      : m_matrix(size, size),
+        m_transpositions(size),
+        m_temporary(size),
+        m_sign(internal::ZeroSign),
+        m_isInitialized(false) {}
+
+  /** \brief Constructor with decomposition
+   *
+   * This calculates the decomposition for the input \a matrix.
+   *
+   * \sa LDLT(Index size)
+   */
+  template <typename InputType>
+  explicit LDLT(const EigenBase<InputType>& matrix)
+      : m_matrix(matrix.rows(), matrix.cols()),
+        m_transpositions(matrix.rows()),
+        m_temporary(matrix.rows()),
+        m_sign(internal::ZeroSign),
+        m_isInitialized(false) {
+    compute(matrix.derived());
+  }
+
+  /** \brief Constructs a LDLT factorization from a given matrix
+   *
+   * This overloaded constructor is provided for \link InplaceDecomposition inplace decomposition \endlink when \c
+   * MatrixType is a Eigen::Ref.
+   *
+   * \sa LDLT(const EigenBase&)
+   */
+  template <typename InputType>
+  explicit LDLT(EigenBase<InputType>& matrix)
+      : m_matrix(matrix.derived()),
+        m_transpositions(matrix.rows()),
+        m_temporary(matrix.rows()),
+        m_sign(internal::ZeroSign),
+        m_isInitialized(false) {
+    compute(matrix.derived());
+  }
+
+  /** Clear any existing decomposition
+   * \sa rankUpdate(w,sigma)
+   */
+  void setZero() { m_isInitialized = false; }
+
+  /** \returns a view of the upper triangular matrix U */
+  inline typename Traits::MatrixU matrixU() const {
+    eigen_assert(m_isInitialized && "LDLT is not initialized.");
+    return Traits::getU(m_matrix);
+  }
+
+  /** \returns a view of the lower triangular matrix L */
+  inline typename Traits::MatrixL matrixL() const {
+    eigen_assert(m_isInitialized && "LDLT is not initialized.");
+    return Traits::getL(m_matrix);
+  }
+
+  /** \returns the permutation matrix P as a transposition sequence.
+   */
+  inline const TranspositionType& transpositionsP() const {
+    eigen_assert(m_isInitialized && "LDLT is not initialized.");
+    return m_transpositions;
+  }
+
+  /** \returns the coefficients of the diagonal matrix D */
+  inline Diagonal<const MatrixType> vectorD() const {
+    eigen_assert(m_isInitialized && "LDLT is not initialized.");
+    return m_matrix.diagonal();
+  }
+
+  /** \returns true if the matrix is positive (semidefinite) */
+  inline bool isPositive() const {
+    eigen_assert(m_isInitialized && "LDLT is not initialized.");
+    return m_sign == internal::PositiveSemiDef || m_sign == internal::ZeroSign;
+  }
+
+  /** \returns true if the matrix is negative (semidefinite) */
+  inline bool isNegative(void) const {
+    eigen_assert(m_isInitialized && "LDLT is not initialized.");
+    return m_sign == internal::NegativeSemiDef || m_sign == internal::ZeroSign;
+  }
+
+#ifdef EIGEN_PARSED_BY_DOXYGEN
+  /** \returns a solution x of \f$ A x = b \f$ using the current decomposition of A.
+   *
+   * This function also supports in-place solves using the syntax <tt>x = decompositionObject.solve(x)</tt> .
+   *
+   * \note_about_checking_solutions
+   *
+   * More precisely, this method solves \f$ A x = b \f$ using the decomposition \f$ A = P^T L D L^* P \f$
+   * by solving the systems \f$ P^T y_1 = b \f$, \f$ L y_2 = y_1 \f$, \f$ D y_3 = y_2 \f$,
+   * \f$ L^* y_4 = y_3 \f$ and \f$ P x = y_4 \f$ in succession. If the matrix \f$ A \f$ is singular, then
+   * \f$ D \f$ will also be singular (all the other matrices are invertible). In that case, the
+   * least-square solution of \f$ D y_3 = y_2 \f$ is computed. This does not mean that this function
+   * computes the least-square solution of \f$ A x = b \f$ if \f$ A \f$ is singular.
+   *
+   * \sa MatrixBase::ldlt(), SelfAdjointView::ldlt()
+   */
+  template <typename Rhs>
+  inline const Solve<LDLT, Rhs> solve(const MatrixBase<Rhs>& b) const;
+#endif
+
+  template <typename Derived>
+  bool solveInPlace(MatrixBase<Derived>& bAndX) const;
+
+  template <typename InputType>
+  LDLT& compute(const EigenBase<InputType>& matrix);
+
+  /** \returns an estimate of the reciprocal condition number of the matrix of
+   *  which \c *this is the LDLT decomposition.
+   */
+  RealScalar rcond() const {
+    eigen_assert(m_isInitialized && "LDLT is not initialized.");
+    return internal::rcond_estimate_helper(m_l1_norm, *this);
+  }
+
+  template <typename Derived>
+  LDLT& rankUpdate(const MatrixBase<Derived>& w, const RealScalar& alpha = 1);
+
+  /** \returns the internal LDLT decomposition matrix
+   *
+   * TODO: document the storage layout
+   */
+  inline const MatrixType& matrixLDLT() const {
+    eigen_assert(m_isInitialized && "LDLT is not initialized.");
+    return m_matrix;
+  }
+
+  MatrixType reconstructedMatrix() const;
+
+  /** \returns the adjoint of \c *this, that is, a const reference to the decomposition itself as the underlying matrix
+   * is self-adjoint.
+   *
+   * This method is provided for compatibility with other matrix decompositions, thus enabling generic code such as:
+   * \code x = decomposition.adjoint().solve(b) \endcode
+   */
+  const LDLT& adjoint() const { return *this; }
+
+  EIGEN_DEVICE_FUNC constexpr Index rows() const noexcept { return m_matrix.rows(); }
+  EIGEN_DEVICE_FUNC constexpr Index cols() const noexcept { return m_matrix.cols(); }
+
+  /** \brief Reports whether previous computation was successful.
+   *
+   * \returns \c Success if computation was successful,
+   *          \c NumericalIssue if the factorization failed because of a zero pivot.
+   */
+  ComputationInfo info() const {
+    eigen_assert(m_isInitialized && "LDLT is not initialized.");
+    return m_info;
+  }
+
+#ifndef EIGEN_PARSED_BY_DOXYGEN
+  template <typename RhsType, typename DstType>
+  void _solve_impl(const RhsType& rhs, DstType& dst) const;
+
+  template <bool Conjugate, typename RhsType, typename DstType>
+  void _solve_impl_transposed(const RhsType& rhs, DstType& dst) const;
+#endif
+
+ protected:
+  EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar)
+
+  /** \internal
+   * Used to compute and store the Cholesky decomposition A = L D L^* = U^* D U.
+   * The strict upper part is used during the decomposition, the strict lower
+   * part correspond to the coefficients of L (its diagonal is equal to 1 and
+   * is not stored), and the diagonal entries correspond to D.
+   */
+  MatrixType m_matrix;
+  RealScalar m_l1_norm;
+  TranspositionType m_transpositions;
+  TmpMatrixType m_temporary;
+  internal::SignMatrix m_sign;
+  bool m_isInitialized;
+  ComputationInfo m_info;
+};
+
+namespace internal {
+
+template <int UpLo>
+struct ldlt_inplace;
+
+template <>
+struct ldlt_inplace<Lower> {
+  template <typename MatrixType, typename TranspositionType, typename Workspace>
+  static bool unblocked(MatrixType& mat, TranspositionType& transpositions, Workspace& temp, SignMatrix& sign) {
+    using std::abs;
+    typedef typename MatrixType::Scalar Scalar;
+    typedef typename MatrixType::RealScalar RealScalar;
+    typedef typename TranspositionType::StorageIndex IndexType;
+    eigen_assert(mat.rows() == mat.cols());
+    const Index size = mat.rows();
+    bool found_zero_pivot = false;
+    bool ret = true;
+
+    if (size <= 1) {
+      transpositions.setIdentity();
+      if (size == 0)
+        sign = ZeroSign;
+      else if (numext::real(mat.coeff(0, 0)) > static_cast<RealScalar>(0))
+        sign = PositiveSemiDef;
+      else if (numext::real(mat.coeff(0, 0)) < static_cast<RealScalar>(0))
+        sign = NegativeSemiDef;
+      else
+        sign = ZeroSign;
+      return true;
+    }
+
+    for (Index k = 0; k < size; ++k) {
+      // Find largest diagonal element
+      Index index_of_biggest_in_corner;
+      mat.diagonal().tail(size - k).cwiseAbs().maxCoeff(&index_of_biggest_in_corner);
+      index_of_biggest_in_corner += k;
+
+      transpositions.coeffRef(k) = IndexType(index_of_biggest_in_corner);
+      if (k != index_of_biggest_in_corner) {
+        // apply the transposition while taking care to consider only
+        // the lower triangular part
+        Index s = size - index_of_biggest_in_corner - 1;  // trailing size after the biggest element
+        mat.row(k).head(k).swap(mat.row(index_of_biggest_in_corner).head(k));
+        mat.col(k).tail(s).swap(mat.col(index_of_biggest_in_corner).tail(s));
+        std::swap(mat.coeffRef(k, k), mat.coeffRef(index_of_biggest_in_corner, index_of_biggest_in_corner));
+        for (Index i = k + 1; i < index_of_biggest_in_corner; ++i) {
+          Scalar tmp = mat.coeffRef(i, k);
+          mat.coeffRef(i, k) = numext::conj(mat.coeffRef(index_of_biggest_in_corner, i));
+          mat.coeffRef(index_of_biggest_in_corner, i) = numext::conj(tmp);
+        }
+        if (NumTraits<Scalar>::IsComplex)
+          mat.coeffRef(index_of_biggest_in_corner, k) = numext::conj(mat.coeff(index_of_biggest_in_corner, k));
+      }
+
+      // partition the matrix:
+      //       A00 |  -  |  -
+      // lu  = A10 | A11 |  -
+      //       A20 | A21 | A22
+      Index rs = size - k - 1;
+      Block<MatrixType, Dynamic, 1> A21(mat, k + 1, k, rs, 1);
+      Block<MatrixType, 1, Dynamic> A10(mat, k, 0, 1, k);
+      Block<MatrixType, Dynamic, Dynamic> A20(mat, k + 1, 0, rs, k);
+
+      if (k > 0) {
+        temp.head(k) = mat.diagonal().real().head(k).asDiagonal() * A10.adjoint();
+        mat.coeffRef(k, k) -= (A10 * temp.head(k)).value();
+        if (rs > 0) A21.noalias() -= A20 * temp.head(k);
+      }
+
+      // In some previous versions of Eigen (e.g., 3.2.1), the scaling was omitted if the pivot
+      // was smaller than the cutoff value. However, since LDLT is not rank-revealing
+      // we should only make sure that we do not introduce INF or NaN values.
+      // Remark that LAPACK also uses 0 as the cutoff value.
+      RealScalar realAkk = numext::real(mat.coeffRef(k, k));
+      bool pivot_is_valid = (abs(realAkk) > RealScalar(0));
+
+      if (k == 0 && !pivot_is_valid) {
+        // The entire diagonal is zero, there is nothing more to do
+        // except filling the transpositions, and checking whether the matrix is zero.
+        sign = ZeroSign;
+        for (Index j = 0; j < size; ++j) {
+          transpositions.coeffRef(j) = IndexType(j);
+          ret = ret && (mat.col(j).tail(size - j - 1).array() == Scalar(0)).all();
+        }
+        return ret;
+      }
+
+      if ((rs > 0) && pivot_is_valid)
+        A21 /= realAkk;
+      else if (rs > 0)
+        ret = ret && (A21.array() == Scalar(0)).all();
+
+      if (found_zero_pivot && pivot_is_valid)
+        ret = false;  // factorization failed
+      else if (!pivot_is_valid)
+        found_zero_pivot = true;
+
+      if (sign == PositiveSemiDef) {
+        if (realAkk < static_cast<RealScalar>(0)) sign = Indefinite;
+      } else if (sign == NegativeSemiDef) {
+        if (realAkk > static_cast<RealScalar>(0)) sign = Indefinite;
+      } else if (sign == ZeroSign) {
+        if (realAkk > static_cast<RealScalar>(0))
+          sign = PositiveSemiDef;
+        else if (realAkk < static_cast<RealScalar>(0))
+          sign = NegativeSemiDef;
+      }
+    }
+
+    return ret;
+  }
+
+  // Reference for the algorithm: Davis and Hager, "Multiple Rank
+  // Modifications of a Sparse Cholesky Factorization" (Algorithm 1)
+  // Trivial rearrangements of their computations (Timothy E. Holy)
+  // allow their algorithm to work for rank-1 updates even if the
+  // original matrix is not of full rank.
+  // Here only rank-1 updates are implemented, to reduce the
+  // requirement for intermediate storage and improve accuracy
+  template <typename MatrixType, typename WDerived>
+  static bool updateInPlace(MatrixType& mat, MatrixBase<WDerived>& w,
+                            const typename MatrixType::RealScalar& sigma = 1) {
+    using numext::isfinite;
+    typedef typename MatrixType::Scalar Scalar;
+    typedef typename MatrixType::RealScalar RealScalar;
+
+    const Index size = mat.rows();
+    eigen_assert(mat.cols() == size && w.size() == size);
+
+    RealScalar alpha = 1;
+
+    // Apply the update
+    for (Index j = 0; j < size; j++) {
+      // Check for termination due to an original decomposition of low-rank
+      if (!(isfinite)(alpha)) break;
+
+      // Update the diagonal terms
+      RealScalar dj = numext::real(mat.coeff(j, j));
+      Scalar wj = w.coeff(j);
+      RealScalar swj2 = sigma * numext::abs2(wj);
+      RealScalar gamma = dj * alpha + swj2;
+
+      mat.coeffRef(j, j) += swj2 / alpha;
+      alpha += swj2 / dj;
+
+      // Update the terms of L
+      Index rs = size - j - 1;
+      w.tail(rs) -= wj * mat.col(j).tail(rs);
+      if (!numext::is_exactly_zero(gamma)) mat.col(j).tail(rs) += (sigma * numext::conj(wj) / gamma) * w.tail(rs);
+    }
+    return true;
+  }
+
+  template <typename MatrixType, typename TranspositionType, typename Workspace, typename WType>
+  static bool update(MatrixType& mat, const TranspositionType& transpositions, Workspace& tmp, const WType& w,
+                     const typename MatrixType::RealScalar& sigma = 1) {
+    // Apply the permutation to the input w
+    tmp = transpositions * w;
+
+    return ldlt_inplace<Lower>::updateInPlace(mat, tmp, sigma);
+  }
+};
+
+template <>
+struct ldlt_inplace<Upper> {
+  template <typename MatrixType, typename TranspositionType, typename Workspace>
+  static EIGEN_STRONG_INLINE bool unblocked(MatrixType& mat, TranspositionType& transpositions, Workspace& temp,
+                                            SignMatrix& sign) {
+    Transpose<MatrixType> matt(mat);
+    return ldlt_inplace<Lower>::unblocked(matt, transpositions, temp, sign);
+  }
+
+  template <typename MatrixType, typename TranspositionType, typename Workspace, typename WType>
+  static EIGEN_STRONG_INLINE bool update(MatrixType& mat, TranspositionType& transpositions, Workspace& tmp, WType& w,
+                                         const typename MatrixType::RealScalar& sigma = 1) {
+    Transpose<MatrixType> matt(mat);
+    return ldlt_inplace<Lower>::update(matt, transpositions, tmp, w.conjugate(), sigma);
+  }
+};
+
+template <typename MatrixType>
+struct LDLT_Traits<MatrixType, Lower> {
+  typedef const TriangularView<const MatrixType, UnitLower> MatrixL;
+  typedef const TriangularView<const typename MatrixType::AdjointReturnType, UnitUpper> MatrixU;
+  static inline MatrixL getL(const MatrixType& m) { return MatrixL(m); }
+  static inline MatrixU getU(const MatrixType& m) { return MatrixU(m.adjoint()); }
+};
+
+template <typename MatrixType>
+struct LDLT_Traits<MatrixType, Upper> {
+  typedef const TriangularView<const typename MatrixType::AdjointReturnType, UnitLower> MatrixL;
+  typedef const TriangularView<const MatrixType, UnitUpper> MatrixU;
+  static inline MatrixL getL(const MatrixType& m) { return MatrixL(m.adjoint()); }
+  static inline MatrixU getU(const MatrixType& m) { return MatrixU(m); }
+};
+
+}  // end namespace internal
+
+/** Compute / recompute the LDLT decomposition A = L D L^* = U^* D U of \a matrix
+ */
+template <typename MatrixType, int UpLo_>
+template <typename InputType>
+LDLT<MatrixType, UpLo_>& LDLT<MatrixType, UpLo_>::compute(const EigenBase<InputType>& a) {
+  eigen_assert(a.rows() == a.cols());
+  const Index size = a.rows();
+
+  m_matrix = a.derived();
+
+  // Compute matrix L1 norm = max abs column sum.
+  m_l1_norm = RealScalar(0);
+  // TODO move this code to SelfAdjointView
+  for (Index col = 0; col < size; ++col) {
+    RealScalar abs_col_sum;
+    if (UpLo_ == Lower)
+      abs_col_sum =
+          m_matrix.col(col).tail(size - col).template lpNorm<1>() + m_matrix.row(col).head(col).template lpNorm<1>();
+    else
+      abs_col_sum =
+          m_matrix.col(col).head(col).template lpNorm<1>() + m_matrix.row(col).tail(size - col).template lpNorm<1>();
+    if (abs_col_sum > m_l1_norm) m_l1_norm = abs_col_sum;
+  }
+
+  m_transpositions.resize(size);
+  m_isInitialized = false;
+  m_temporary.resize(size);
+  m_sign = internal::ZeroSign;
+
+  m_info = internal::ldlt_inplace<UpLo>::unblocked(m_matrix, m_transpositions, m_temporary, m_sign) ? Success
+                                                                                                    : NumericalIssue;
+
+  m_isInitialized = true;
+  return *this;
+}
+
+/** Update the LDLT decomposition:  given A = L D L^T, efficiently compute the decomposition of A + sigma w w^T.
+ * \param w a vector to be incorporated into the decomposition.
+ * \param sigma a scalar, +1 for updates and -1 for "downdates," which correspond to removing previously-added column
+ * vectors. Optional; default value is +1. \sa setZero()
+ */
+template <typename MatrixType, int UpLo_>
+template <typename Derived>
+LDLT<MatrixType, UpLo_>& LDLT<MatrixType, UpLo_>::rankUpdate(
+    const MatrixBase<Derived>& w, const typename LDLT<MatrixType, UpLo_>::RealScalar& sigma) {
+  typedef typename TranspositionType::StorageIndex IndexType;
+  const Index size = w.rows();
+  if (m_isInitialized) {
+    eigen_assert(m_matrix.rows() == size);
+  } else {
+    m_matrix.resize(size, size);
+    m_matrix.setZero();
+    m_transpositions.resize(size);
+    for (Index i = 0; i < size; i++) m_transpositions.coeffRef(i) = IndexType(i);
+    m_temporary.resize(size);
+    m_sign = sigma >= 0 ? internal::PositiveSemiDef : internal::NegativeSemiDef;
+    m_isInitialized = true;
+  }
+
+  internal::ldlt_inplace<UpLo>::update(m_matrix, m_transpositions, m_temporary, w, sigma);
+
+  return *this;
+}
+
+#ifndef EIGEN_PARSED_BY_DOXYGEN
+template <typename MatrixType_, int UpLo_>
+template <typename RhsType, typename DstType>
+void LDLT<MatrixType_, UpLo_>::_solve_impl(const RhsType& rhs, DstType& dst) const {
+  _solve_impl_transposed<true>(rhs, dst);
+}
+
+template <typename MatrixType_, int UpLo_>
+template <bool Conjugate, typename RhsType, typename DstType>
+void LDLT<MatrixType_, UpLo_>::_solve_impl_transposed(const RhsType& rhs, DstType& dst) const {
+  // dst = P b
+  dst = m_transpositions * rhs;
+
+  // dst = L^-1 (P b)
+  // dst = L^-*T (P b)
+  matrixL().template conjugateIf<!Conjugate>().solveInPlace(dst);
+
+  // dst = D^-* (L^-1 P b)
+  // dst = D^-1 (L^-*T P b)
+  // more precisely, use pseudo-inverse of D (see bug 241)
+  using std::abs;
+  const typename Diagonal<const MatrixType>::RealReturnType vecD(vectorD());
+  // In some previous versions, tolerance was set to the max of 1/highest (or rather numeric_limits::min())
+  // and the maximal diagonal entry * epsilon as motivated by LAPACK's xGELSS:
+  // RealScalar tolerance = numext::maxi(vecD.array().abs().maxCoeff() * NumTraits<RealScalar>::epsilon(),RealScalar(1)
+  // / NumTraits<RealScalar>::highest()); However, LDLT is not rank revealing, and so adjusting the tolerance wrt to the
+  // highest diagonal element is not well justified and leads to numerical issues in some cases. Moreover, Lapack's
+  // xSYTRS routines use 0 for the tolerance. Using numeric_limits::min() gives us more robustness to denormals.
+  RealScalar tolerance = (std::numeric_limits<RealScalar>::min)();
+  for (Index i = 0; i < vecD.size(); ++i) {
+    if (abs(vecD(i)) > tolerance)
+      dst.row(i) /= vecD(i);
+    else
+      dst.row(i).setZero();
+  }
+
+  // dst = L^-* (D^-* L^-1 P b)
+  // dst = L^-T (D^-1 L^-*T P b)
+  matrixL().transpose().template conjugateIf<Conjugate>().solveInPlace(dst);
+
+  // dst = P^T (L^-* D^-* L^-1 P b) = A^-1 b
+  // dst = P^-T (L^-T D^-1 L^-*T P b) = A^-1 b
+  dst = m_transpositions.transpose() * dst;
+}
+#endif
+
+/** \internal use x = ldlt_object.solve(x);
+ *
+ * This is the \em in-place version of solve().
+ *
+ * \param bAndX represents both the right-hand side matrix b and result x.
+ *
+ * \returns true always! If you need to check for existence of solutions, use another decomposition like LU, QR, or SVD.
+ *
+ * This version avoids a copy when the right hand side matrix b is not
+ * needed anymore.
+ *
+ * \sa LDLT::solve(), MatrixBase::ldlt()
+ */
+template <typename MatrixType, int UpLo_>
+template <typename Derived>
+bool LDLT<MatrixType, UpLo_>::solveInPlace(MatrixBase<Derived>& bAndX) const {
+  eigen_assert(m_isInitialized && "LDLT is not initialized.");
+  eigen_assert(m_matrix.rows() == bAndX.rows());
+
+  bAndX = this->solve(bAndX);
+
+  return true;
+}
+
+/** \returns the matrix represented by the decomposition,
+ * i.e., it returns the product: P^T L D L^* P.
+ * This function is provided for debug purpose. */
+template <typename MatrixType, int UpLo_>
+MatrixType LDLT<MatrixType, UpLo_>::reconstructedMatrix() const {
+  eigen_assert(m_isInitialized && "LDLT is not initialized.");
+  const Index size = m_matrix.rows();
+  MatrixType res(size, size);
+
+  // P
+  res.setIdentity();
+  res = transpositionsP() * res;
+  // L^* P
+  res = matrixU() * res;
+  // D(L^*P)
+  res = vectorD().real().asDiagonal() * res;
+  // L(DL^*P)
+  res = matrixL() * res;
+  // P^T (LDL^*P)
+  res = transpositionsP().transpose() * res;
+
+  return res;
+}
+
+/** \cholesky_module
+ * \returns the Cholesky decomposition with full pivoting without square root of \c *this
+ * \sa MatrixBase::ldlt()
+ */
+template <typename MatrixType, unsigned int UpLo>
+inline const LDLT<typename SelfAdjointView<MatrixType, UpLo>::PlainObject, UpLo>
+SelfAdjointView<MatrixType, UpLo>::ldlt() const {
+  return LDLT<PlainObject, UpLo>(m_matrix);
+}
+
+/** \cholesky_module
+ * \returns the Cholesky decomposition with full pivoting without square root of \c *this
+ * \sa SelfAdjointView::ldlt()
+ */
+template <typename Derived>
+inline const LDLT<typename MatrixBase<Derived>::PlainObject> MatrixBase<Derived>::ldlt() const {
+  return LDLT<PlainObject>(derived());
+}
+
+}  // end namespace Eigen
+
+#endif  // EIGEN_LDLT_H