casadi 3.5.6.pre2__cp39-none-win_amd64.whl → 3.6.0__cp39-none-win_amd64.whl

casadi/include/eigen3/Eigen/src/LU/PartialPivLU.h

@@ -0,0 +1,624 @@
+// This file is part of Eigen, a lightweight C++ template library
+// for linear algebra.
+//
+// Copyright (C) 2006-2009 Benoit Jacob <jacob.benoit.1@gmail.com>
+// Copyright (C) 2009 Gael Guennebaud <gael.guennebaud@inria.fr>
+//
+// 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_PARTIALLU_H
+#define EIGEN_PARTIALLU_H
+
+namespace Eigen {
+
+namespace internal {
+template<typename _MatrixType> struct traits<PartialPivLU<_MatrixType> >
+ : traits<_MatrixType>
+{
+  typedef MatrixXpr XprKind;
+  typedef SolverStorage StorageKind;
+  typedef int StorageIndex;
+  typedef traits<_MatrixType> BaseTraits;
+  enum {
+    Flags = BaseTraits::Flags & RowMajorBit,
+    CoeffReadCost = Dynamic
+  };
+};
+
+template<typename T,typename Derived>
+struct enable_if_ref;
+// {
+//   typedef Derived type;
+// };
+
+template<typename T,typename Derived>
+struct enable_if_ref<Ref<T>,Derived> {
+  typedef Derived type;
+};
+
+} // end namespace internal
+
+/** \ingroup LU_Module
+  *
+  * \class PartialPivLU
+  *
+  * \brief LU decomposition of a matrix with partial pivoting, and related features
+  *
+  * \tparam _MatrixType the type of the matrix of which we are computing the LU decomposition
+  *
+  * This class represents a LU decomposition of a \b square \b invertible matrix, with partial pivoting: the matrix A
+  * is decomposed as A = PLU where L is unit-lower-triangular, U is upper-triangular, and P
+  * is a permutation matrix.
+  *
+  * Typically, partial pivoting LU decomposition is only considered numerically stable for square invertible
+  * matrices. Thus LAPACK's dgesv and dgesvx require the matrix to be square and invertible. The present class
+  * does the same. It will assert that the matrix is square, but it won't (actually it can't) check that the
+  * matrix is invertible: it is your task to check that you only use this decomposition on invertible matrices.
+  *
+  * The guaranteed safe alternative, working for all matrices, is the full pivoting LU decomposition, provided
+  * by class FullPivLU.
+  *
+  * This is \b not a rank-revealing LU decomposition. Many features are intentionally absent from this class,
+  * such as rank computation. If you need these features, use class FullPivLU.
+  *
+  * This LU decomposition is suitable to invert invertible matrices. It is what MatrixBase::inverse() uses
+  * in the general case.
+  * On the other hand, it is \b not suitable to determine whether a given matrix is invertible.
+  *
+  * The data of the LU decomposition can be directly accessed through the methods matrixLU(), permutationP().
+  *
+  * This class supports the \link InplaceDecomposition inplace decomposition \endlink mechanism.
+  *
+  * \sa MatrixBase::partialPivLu(), MatrixBase::determinant(), MatrixBase::inverse(), MatrixBase::computeInverse(), class FullPivLU
+  */
+template<typename _MatrixType> class PartialPivLU
+  : public SolverBase<PartialPivLU<_MatrixType> >
+{
+  public:
+
+    typedef _MatrixType MatrixType;
+    typedef SolverBase<PartialPivLU> Base;
+    friend class SolverBase<PartialPivLU>;
+
+    EIGEN_GENERIC_PUBLIC_INTERFACE(PartialPivLU)
+    enum {
+      MaxRowsAtCompileTime = MatrixType::MaxRowsAtCompileTime,
+      MaxColsAtCompileTime = MatrixType::MaxColsAtCompileTime
+    };
+    typedef PermutationMatrix<RowsAtCompileTime, MaxRowsAtCompileTime> PermutationType;
+    typedef Transpositions<RowsAtCompileTime, MaxRowsAtCompileTime> TranspositionType;
+    typedef typename MatrixType::PlainObject PlainObject;
+
+    /**
+      * \brief Default Constructor.
+      *
+      * The default constructor is useful in cases in which the user intends to
+      * perform decompositions via PartialPivLU::compute(const MatrixType&).
+      */
+    PartialPivLU();
+
+    /** \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 PartialPivLU()
+      */
+    explicit PartialPivLU(Index size);
+
+    /** Constructor.
+      *
+      * \param matrix the matrix of which to compute the LU decomposition.
+      *
+      * \warning The matrix should have full rank (e.g. if it's square, it should be invertible).
+      * If you need to deal with non-full rank, use class FullPivLU instead.
+      */
+    template<typename InputType>
+    explicit PartialPivLU(const EigenBase<InputType>& matrix);
+
+    /** Constructor for \link InplaceDecomposition inplace decomposition \endlink
+      *
+      * \param matrix the matrix of which to compute the LU decomposition.
+      *
+      * \warning The matrix should have full rank (e.g. if it's square, it should be invertible).
+      * If you need to deal with non-full rank, use class FullPivLU instead.
+      */
+    template<typename InputType>
+    explicit PartialPivLU(EigenBase<InputType>& matrix);
+
+    template<typename InputType>
+    PartialPivLU& compute(const EigenBase<InputType>& matrix) {
+      m_lu = matrix.derived();
+      compute();
+      return *this;
+    }
+
+    /** \returns the LU decomposition matrix: the upper-triangular part is U, the
+      * unit-lower-triangular part is L (at least for square matrices; in the non-square
+      * case, special care is needed, see the documentation of class FullPivLU).
+      *
+      * \sa matrixL(), matrixU()
+      */
+    inline const MatrixType& matrixLU() const
+    {
+      eigen_assert(m_isInitialized && "PartialPivLU is not initialized.");
+      return m_lu;
+    }
+
+    /** \returns the permutation matrix P.
+      */
+    inline const PermutationType& permutationP() const
+    {
+      eigen_assert(m_isInitialized && "PartialPivLU is not initialized.");
+      return m_p;
+    }
+
+    #ifdef EIGEN_PARSED_BY_DOXYGEN
+    /** This method returns the solution x to the equation Ax=b, where A is the matrix of which
+      * *this is the LU decomposition.
+      *
+      * \param b the right-hand-side of the equation to solve. Can be a vector or a matrix,
+      *          the only requirement in order for the equation to make sense is that
+      *          b.rows()==A.rows(), where A is the matrix of which *this is the LU decomposition.
+      *
+      * \returns the solution.
+      *
+      * Example: \include PartialPivLU_solve.cpp
+      * Output: \verbinclude PartialPivLU_solve.out
+      *
+      * Since this PartialPivLU class assumes anyway that the matrix A is invertible, the solution
+      * theoretically exists and is unique regardless of b.
+      *
+      * \sa TriangularView::solve(), inverse(), computeInverse()
+      */
+    template<typename Rhs>
+    inline const Solve<PartialPivLU, Rhs>
+    solve(const MatrixBase<Rhs>& b) const;
+    #endif
+
+    /** \returns an estimate of the reciprocal condition number of the matrix of which \c *this is
+        the LU decomposition.
+      */
+    inline RealScalar rcond() const
+    {
+      eigen_assert(m_isInitialized && "PartialPivLU is not initialized.");
+      return internal::rcond_estimate_helper(m_l1_norm, *this);
+    }
+
+    /** \returns the inverse of the matrix of which *this is the LU decomposition.
+      *
+      * \warning The matrix being decomposed here is assumed to be invertible. If you need to check for
+      *          invertibility, use class FullPivLU instead.
+      *
+      * \sa MatrixBase::inverse(), LU::inverse()
+      */
+    inline const Inverse<PartialPivLU> inverse() const
+    {
+      eigen_assert(m_isInitialized && "PartialPivLU is not initialized.");
+      return Inverse<PartialPivLU>(*this);
+    }
+
+    /** \returns the determinant of the matrix of which
+      * *this is the LU decomposition. It has only linear complexity
+      * (that is, O(n) where n is the dimension of the square matrix)
+      * as the LU decomposition has already been computed.
+      *
+      * \note For fixed-size matrices of size up to 4, MatrixBase::determinant() offers
+      *       optimized paths.
+      *
+      * \warning a determinant can be very big or small, so for matrices
+      * of large enough dimension, there is a risk of overflow/underflow.
+      *
+      * \sa MatrixBase::determinant()
+      */
+    Scalar determinant() const;
+
+    MatrixType reconstructedMatrix() const;
+
+    EIGEN_CONSTEXPR inline Index rows() const EIGEN_NOEXCEPT { return m_lu.rows(); }
+    EIGEN_CONSTEXPR inline Index cols() const EIGEN_NOEXCEPT { return m_lu.cols(); }
+
+    #ifndef EIGEN_PARSED_BY_DOXYGEN
+    template<typename RhsType, typename DstType>
+    EIGEN_DEVICE_FUNC
+    void _solve_impl(const RhsType &rhs, DstType &dst) const {
+     /* The decomposition PA = LU can be rewritten as A = P^{-1} L U.
+      * So we proceed as follows:
+      * Step 1: compute c = Pb.
+      * Step 2: replace c by the solution x to Lx = c.
+      * Step 3: replace c by the solution x to Ux = c.
+      */
+
+      // Step 1
+      dst = permutationP() * rhs;
+
+      // Step 2
+      m_lu.template triangularView<UnitLower>().solveInPlace(dst);
+
+      // Step 3
+      m_lu.template triangularView<Upper>().solveInPlace(dst);
+    }
+
+    template<bool Conjugate, typename RhsType, typename DstType>
+    EIGEN_DEVICE_FUNC
+    void _solve_impl_transposed(const RhsType &rhs, DstType &dst) const {
+     /* The decomposition PA = LU can be rewritten as A^T = U^T L^T P.
+      * So we proceed as follows:
+      * Step 1: compute c as the solution to L^T c = b
+      * Step 2: replace c by the solution x to U^T x = c.
+      * Step 3: update  c = P^-1 c.
+      */
+
+      eigen_assert(rhs.rows() == m_lu.cols());
+
+      // Step 1
+      dst = m_lu.template triangularView<Upper>().transpose()
+                .template conjugateIf<Conjugate>().solve(rhs);
+      // Step 2
+      m_lu.template triangularView<UnitLower>().transpose()
+          .template conjugateIf<Conjugate>().solveInPlace(dst);
+      // Step 3
+      dst = permutationP().transpose() * dst;
+    }
+    #endif
+
+  protected:
+
+    static void check_template_parameters()
+    {
+      EIGEN_STATIC_ASSERT_NON_INTEGER(Scalar);
+    }
+
+    void compute();
+
+    MatrixType m_lu;
+    PermutationType m_p;
+    TranspositionType m_rowsTranspositions;
+    RealScalar m_l1_norm;
+    signed char m_det_p;
+    bool m_isInitialized;
+};
+
+template<typename MatrixType>
+PartialPivLU<MatrixType>::PartialPivLU()
+  : m_lu(),
+    m_p(),
+    m_rowsTranspositions(),
+    m_l1_norm(0),
+    m_det_p(0),
+    m_isInitialized(false)
+{
+}
+
+template<typename MatrixType>
+PartialPivLU<MatrixType>::PartialPivLU(Index size)
+  : m_lu(size, size),
+    m_p(size),
+    m_rowsTranspositions(size),
+    m_l1_norm(0),
+    m_det_p(0),
+    m_isInitialized(false)
+{
+}
+
+template<typename MatrixType>
+template<typename InputType>
+PartialPivLU<MatrixType>::PartialPivLU(const EigenBase<InputType>& matrix)
+  : m_lu(matrix.rows(),matrix.cols()),
+    m_p(matrix.rows()),
+    m_rowsTranspositions(matrix.rows()),
+    m_l1_norm(0),
+    m_det_p(0),
+    m_isInitialized(false)
+{
+  compute(matrix.derived());
+}
+
+template<typename MatrixType>
+template<typename InputType>
+PartialPivLU<MatrixType>::PartialPivLU(EigenBase<InputType>& matrix)
+  : m_lu(matrix.derived()),
+    m_p(matrix.rows()),
+    m_rowsTranspositions(matrix.rows()),
+    m_l1_norm(0),
+    m_det_p(0),
+    m_isInitialized(false)
+{
+  compute();
+}
+
+namespace internal {
+
+/** \internal This is the blocked version of fullpivlu_unblocked() */
+template<typename Scalar, int StorageOrder, typename PivIndex, int SizeAtCompileTime=Dynamic>
+struct partial_lu_impl
+{
+  static const int UnBlockedBound = 16;
+  static const bool UnBlockedAtCompileTime = SizeAtCompileTime!=Dynamic && SizeAtCompileTime<=UnBlockedBound;
+  static const int ActualSizeAtCompileTime = UnBlockedAtCompileTime ? SizeAtCompileTime : Dynamic;
+  // Remaining rows and columns at compile-time:
+  static const int RRows = SizeAtCompileTime==2 ? 1 : Dynamic;
+  static const int RCols = SizeAtCompileTime==2 ? 1 : Dynamic;
+  typedef Matrix<Scalar, ActualSizeAtCompileTime, ActualSizeAtCompileTime, StorageOrder> MatrixType;
+  typedef Ref<MatrixType> MatrixTypeRef;
+  typedef Ref<Matrix<Scalar, Dynamic, Dynamic, StorageOrder> > BlockType;
+  typedef typename MatrixType::RealScalar RealScalar;
+
+  /** \internal performs the LU decomposition in-place of the matrix \a lu
+    * using an unblocked algorithm.
+    *
+    * In addition, this function returns the row transpositions in the
+    * vector \a row_transpositions which must have a size equal to the number
+    * of columns of the matrix \a lu, and an integer \a nb_transpositions
+    * which returns the actual number of transpositions.
+    *
+    * \returns The index of the first pivot which is exactly zero if any, or a negative number otherwise.
+    */
+  static Index unblocked_lu(MatrixTypeRef& lu, PivIndex* row_transpositions, PivIndex& nb_transpositions)
+  {
+    typedef scalar_score_coeff_op<Scalar> Scoring;
+    typedef typename Scoring::result_type Score;
+    const Index rows = lu.rows();
+    const Index cols = lu.cols();
+    const Index size = (std::min)(rows,cols);
+    // For small compile-time matrices it is worth processing the last row separately:
+    //  speedup: +100% for 2x2, +10% for others.
+    const Index endk = UnBlockedAtCompileTime ? size-1 : size;
+    nb_transpositions = 0;
+    Index first_zero_pivot = -1;
+    for(Index k = 0; k < endk; ++k)
+    {
+      int rrows = internal::convert_index<int>(rows-k-1);
+      int rcols = internal::convert_index<int>(cols-k-1);
+
+      Index row_of_biggest_in_col;
+      Score biggest_in_corner
+        = lu.col(k).tail(rows-k).unaryExpr(Scoring()).maxCoeff(&row_of_biggest_in_col);
+      row_of_biggest_in_col += k;
+
+      row_transpositions[k] = PivIndex(row_of_biggest_in_col);
+
+      if(biggest_in_corner != Score(0))
+      {
+        if(k != row_of_biggest_in_col)
+        {
+          lu.row(k).swap(lu.row(row_of_biggest_in_col));
+          ++nb_transpositions;
+        }
+
+        lu.col(k).tail(fix<RRows>(rrows)) /= lu.coeff(k,k);
+      }
+      else if(first_zero_pivot==-1)
+      {
+        // the pivot is exactly zero, we record the index of the first pivot which is exactly 0,
+        // and continue the factorization such we still have A = PLU
+        first_zero_pivot = k;
+      }
+
+      if(k<rows-1)
+        lu.bottomRightCorner(fix<RRows>(rrows),fix<RCols>(rcols)).noalias() -= lu.col(k).tail(fix<RRows>(rrows)) * lu.row(k).tail(fix<RCols>(rcols));
+    }
+
+    // special handling of the last entry
+    if(UnBlockedAtCompileTime)
+    {
+      Index k = endk;
+      row_transpositions[k] = PivIndex(k);
+      if (Scoring()(lu(k, k)) == Score(0) && first_zero_pivot == -1)
+        first_zero_pivot = k;
+    }
+
+    return first_zero_pivot;
+  }
+
+  /** \internal performs the LU decomposition in-place of the matrix represented
+    * by the variables \a rows, \a cols, \a lu_data, and \a lu_stride using a
+    * recursive, blocked algorithm.
+    *
+    * In addition, this function returns the row transpositions in the
+    * vector \a row_transpositions which must have a size equal to the number
+    * of columns of the matrix \a lu, and an integer \a nb_transpositions
+    * which returns the actual number of transpositions.
+    *
+    * \returns The index of the first pivot which is exactly zero if any, or a negative number otherwise.
+    *
+    * \note This very low level interface using pointers, etc. is to:
+    *   1 - reduce the number of instantiations to the strict minimum
+    *   2 - avoid infinite recursion of the instantiations with Block<Block<Block<...> > >
+    */
+  static Index blocked_lu(Index rows, Index cols, Scalar* lu_data, Index luStride, PivIndex* row_transpositions, PivIndex& nb_transpositions, Index maxBlockSize=256)
+  {
+    MatrixTypeRef lu = MatrixType::Map(lu_data,rows, cols, OuterStride<>(luStride));
+
+    const Index size = (std::min)(rows,cols);
+
+    // if the matrix is too small, no blocking:
+    if(UnBlockedAtCompileTime || size<=UnBlockedBound)
+    {
+      return unblocked_lu(lu, row_transpositions, nb_transpositions);
+    }
+
+    // automatically adjust the number of subdivisions to the size
+    // of the matrix so that there is enough sub blocks:
+    Index blockSize;
+    {
+      blockSize = size/8;
+      blockSize = (blockSize/16)*16;
+      blockSize = (std::min)((std::max)(blockSize,Index(8)), maxBlockSize);
+    }
+
+    nb_transpositions = 0;
+    Index first_zero_pivot = -1;
+    for(Index k = 0; k < size; k+=blockSize)
+    {
+      Index bs = (std::min)(size-k,blockSize); // actual size of the block
+      Index trows = rows - k - bs; // trailing rows
+      Index tsize = size - k - bs; // trailing size
+
+      // partition the matrix:
+      //                          A00 | A01 | A02
+      // lu  = A_0 | A_1 | A_2 =  A10 | A11 | A12
+      //                          A20 | A21 | A22
+      BlockType A_0 = lu.block(0,0,rows,k);
+      BlockType A_2 = lu.block(0,k+bs,rows,tsize);
+      BlockType A11 = lu.block(k,k,bs,bs);
+      BlockType A12 = lu.block(k,k+bs,bs,tsize);
+      BlockType A21 = lu.block(k+bs,k,trows,bs);
+      BlockType A22 = lu.block(k+bs,k+bs,trows,tsize);
+
+      PivIndex nb_transpositions_in_panel;
+      // recursively call the blocked LU algorithm on [A11^T A21^T]^T
+      // with a very small blocking size:
+      Index ret = blocked_lu(trows+bs, bs, &lu.coeffRef(k,k), luStride,
+                   row_transpositions+k, nb_transpositions_in_panel, 16);
+      if(ret>=0 && first_zero_pivot==-1)
+        first_zero_pivot = k+ret;
+
+      nb_transpositions += nb_transpositions_in_panel;
+      // update permutations and apply them to A_0
+      for(Index i=k; i<k+bs; ++i)
+      {
+        Index piv = (row_transpositions[i] += internal::convert_index<PivIndex>(k));
+        A_0.row(i).swap(A_0.row(piv));
+      }
+
+      if(trows)
+      {
+        // apply permutations to A_2
+        for(Index i=k;i<k+bs; ++i)
+          A_2.row(i).swap(A_2.row(row_transpositions[i]));
+
+        // A12 = A11^-1 A12
+        A11.template triangularView<UnitLower>().solveInPlace(A12);
+
+        A22.noalias() -= A21 * A12;
+      }
+    }
+    return first_zero_pivot;
+  }
+};
+
+/** \internal performs the LU decomposition with partial pivoting in-place.
+  */
+template<typename MatrixType, typename TranspositionType>
+void partial_lu_inplace(MatrixType& lu, TranspositionType& row_transpositions, typename TranspositionType::StorageIndex& nb_transpositions)
+{
+  // Special-case of zero matrix.
+  if (lu.rows() == 0 || lu.cols() == 0) {
+    nb_transpositions = 0;
+    return;
+  }
+  eigen_assert(lu.cols() == row_transpositions.size());
+  eigen_assert(row_transpositions.size() < 2 || (&row_transpositions.coeffRef(1)-&row_transpositions.coeffRef(0)) == 1);
+
+  partial_lu_impl
+    < typename MatrixType::Scalar, MatrixType::Flags&RowMajorBit?RowMajor:ColMajor,
+      typename TranspositionType::StorageIndex,
+      EIGEN_SIZE_MIN_PREFER_FIXED(MatrixType::RowsAtCompileTime,MatrixType::ColsAtCompileTime)>
+    ::blocked_lu(lu.rows(), lu.cols(), &lu.coeffRef(0,0), lu.outerStride(), &row_transpositions.coeffRef(0), nb_transpositions);
+}
+
+} // end namespace internal
+
+template<typename MatrixType>
+void PartialPivLU<MatrixType>::compute()
+{
+  check_template_parameters();
+
+  // the row permutation is stored as int indices, so just to be sure:
+  eigen_assert(m_lu.rows()<NumTraits<int>::highest());
+
+  if(m_lu.cols()>0)
+    m_l1_norm = m_lu.cwiseAbs().colwise().sum().maxCoeff();
+  else
+    m_l1_norm = RealScalar(0);
+
+  eigen_assert(m_lu.rows() == m_lu.cols() && "PartialPivLU is only for square (and moreover invertible) matrices");
+  const Index size = m_lu.rows();
+
+  m_rowsTranspositions.resize(size);
+
+  typename TranspositionType::StorageIndex nb_transpositions;
+  internal::partial_lu_inplace(m_lu, m_rowsTranspositions, nb_transpositions);
+  m_det_p = (nb_transpositions%2) ? -1 : 1;
+
+  m_p = m_rowsTranspositions;
+
+  m_isInitialized = true;
+}
+
+template<typename MatrixType>
+typename PartialPivLU<MatrixType>::Scalar PartialPivLU<MatrixType>::determinant() const
+{
+  eigen_assert(m_isInitialized && "PartialPivLU is not initialized.");
+  return Scalar(m_det_p) * m_lu.diagonal().prod();
+}
+
+/** \returns the matrix represented by the decomposition,
+ * i.e., it returns the product: P^{-1} L U.
+ * This function is provided for debug purpose. */
+template<typename MatrixType>
+MatrixType PartialPivLU<MatrixType>::reconstructedMatrix() const
+{
+  eigen_assert(m_isInitialized && "LU is not initialized.");
+  // LU
+  MatrixType res = m_lu.template triangularView<UnitLower>().toDenseMatrix()
+                 * m_lu.template triangularView<Upper>();
+
+  // P^{-1}(LU)
+  res = m_p.inverse() * res;
+
+  return res;
+}
+
+/***** Implementation details *****************************************************/
+
+namespace internal {
+
+/***** Implementation of inverse() *****************************************************/
+template<typename DstXprType, typename MatrixType>
+struct Assignment<DstXprType, Inverse<PartialPivLU<MatrixType> >, internal::assign_op<typename DstXprType::Scalar,typename PartialPivLU<MatrixType>::Scalar>, Dense2Dense>
+{
+  typedef PartialPivLU<MatrixType> LuType;
+  typedef Inverse<LuType> SrcXprType;
+  static void run(DstXprType &dst, const SrcXprType &src, const internal::assign_op<typename DstXprType::Scalar,typename LuType::Scalar> &)
+  {
+    dst = src.nestedExpression().solve(MatrixType::Identity(src.rows(), src.cols()));
+  }
+};
+} // end namespace internal
+
+/******** MatrixBase methods *******/
+
+/** \lu_module
+  *
+  * \return the partial-pivoting LU decomposition of \c *this.
+  *
+  * \sa class PartialPivLU
+  */
+template<typename Derived>
+inline const PartialPivLU<typename MatrixBase<Derived>::PlainObject>
+MatrixBase<Derived>::partialPivLu() const
+{
+  return PartialPivLU<PlainObject>(eval());
+}
+
+/** \lu_module
+  *
+  * Synonym of partialPivLu().
+  *
+  * \return the partial-pivoting LU decomposition of \c *this.
+  *
+  * \sa class PartialPivLU
+  */
+template<typename Derived>
+inline const PartialPivLU<typename MatrixBase<Derived>::PlainObject>
+MatrixBase<Derived>::lu() const
+{
+  return PartialPivLU<PlainObject>(eval());
+}
+
+} // end namespace Eigen
+
+#endif // EIGEN_PARTIALLU_H

casadi/include/eigen3/Eigen/src/LU/PartialPivLU_LAPACKE.h

@@ -0,0 +1,83 @@
+/*
+ Copyright (c) 2011, Intel Corporation. All rights reserved.
+
+ Redistribution and use in source and binary forms, with or without modification,
+ are permitted provided that the following conditions are met:
+
+ * Redistributions of source code must retain the above copyright notice, this
+   list of conditions and the following disclaimer.
+ * Redistributions in binary form must reproduce the above copyright notice,
+   this list of conditions and the following disclaimer in the documentation
+   and/or other materials provided with the distribution.
+ * Neither the name of Intel Corporation nor the names of its contributors may
+   be used to endorse or promote products derived from this software without
+   specific prior written permission.
+
+ THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS" AND
+ ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED
+ WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+ DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE LIABLE FOR
+ ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
+ (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES;
+ LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON
+ ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+ (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS
+ SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+
+ ********************************************************************************
+ *   Content : Eigen bindings to LAPACKe
+ *     LU decomposition with partial pivoting based on LAPACKE_?getrf function.
+ ********************************************************************************
+*/
+
+#ifndef EIGEN_PARTIALLU_LAPACK_H
+#define EIGEN_PARTIALLU_LAPACK_H
+
+namespace Eigen { 
+
+namespace internal {
+
+/** \internal Specialization for the data types supported by LAPACKe */
+
+#define EIGEN_LAPACKE_LU_PARTPIV(EIGTYPE, LAPACKE_TYPE, LAPACKE_PREFIX) \
+template<int StorageOrder> \
+struct partial_lu_impl<EIGTYPE, StorageOrder, lapack_int> \
+{ \
+  /* \internal performs the LU decomposition in-place of the matrix represented */ \
+  static lapack_int blocked_lu(Index rows, Index cols, EIGTYPE* lu_data, Index luStride, lapack_int* row_transpositions, lapack_int& nb_transpositions, lapack_int maxBlockSize=256) \
+  { \
+    EIGEN_UNUSED_VARIABLE(maxBlockSize);\
+    lapack_int matrix_order, first_zero_pivot; \
+    lapack_int m, n, lda, *ipiv, info; \
+    EIGTYPE* a; \
+/* Set up parameters for ?getrf */ \
+    matrix_order = StorageOrder==RowMajor ? LAPACK_ROW_MAJOR : LAPACK_COL_MAJOR; \
+    lda = convert_index<lapack_int>(luStride); \
+    a = lu_data; \
+    ipiv = row_transpositions; \
+    m = convert_index<lapack_int>(rows); \
+    n = convert_index<lapack_int>(cols); \
+    nb_transpositions = 0; \
+\
+    info = LAPACKE_##LAPACKE_PREFIX##getrf( matrix_order, m, n, (LAPACKE_TYPE*)a, lda, ipiv ); \
+\
+    for(int i=0;i<m;i++) { ipiv[i]--; if (ipiv[i]!=i) nb_transpositions++; } \
+\
+    eigen_assert(info >= 0); \
+/* something should be done with nb_transpositions */ \
+\
+    first_zero_pivot = info; \
+    return first_zero_pivot; \
+  } \
+};
+
+EIGEN_LAPACKE_LU_PARTPIV(double, double, d)
+EIGEN_LAPACKE_LU_PARTPIV(float, float, s)
+EIGEN_LAPACKE_LU_PARTPIV(dcomplex, lapack_complex_double, z)
+EIGEN_LAPACKE_LU_PARTPIV(scomplex, lapack_complex_float,  c)
+
+} // end namespace internal
+
+} // end namespace Eigen
+
+#endif // EIGEN_PARTIALLU_LAPACK_H