RcppSolve

C++ Function Reference

1 Signature

Eigen::MatrixXd BigDataStatMeth::RcppSolve(Eigen::Map< Eigen::MatrixXd > a, Eigen::Map< Eigen::MatrixXd > b)

2 Description

Solves the linear system AX = B using Eigen matrices.

3 Parameters

• a (Eigen::Map< Eigen::MatrixXd >): Input matrix A (coefficient matrix)
• b (Eigen::Map< Eigen::MatrixXd >): Input/output matrix B (right-hand side matrix, will contain solution X)

4 Returns

Eigen::MatrixXd Solution matrix X

5 Details

aInput matrix A (coefficient matrix) bInput/output matrix B (right-hand side matrix, will contain solution X) Eigen::MatrixXd Solution matrix X This function automatically detects if A is symmetric and uses the appropriate LAPACK solver (DSYSV for symmetric, DGESV for general matrices). The solution is computed in-place in matrix b.

6 Call Graph

7 Source Code

NoteImplementation

File: inst/include/hdf5Algebra/matrixEquationSolver.hpp • Lines 89-124

inline Eigen::MatrixXd RcppSolve(Eigen::Map<Eigen::MatrixXd> a, Eigen::Map<Eigen::MatrixXd> b)
    {
        
        try {
            
            char Uchar = 'U';
            int info = 0;
            
            // Declare matrix variables
            int n = a.rows();
            int nrhs = b.cols();
            int lwork = std::max( 1, n );
            int lda = std::max( 1, n );
            int ldb = std::max( 1, n );
            std::vector<int> ipiv(n);
            std::vector<double> work(lwork);
            
            // Solve matrix equation
            if( a == a.transpose()  )
            {
                // dsysv_( char* UPLO, int* N , int* NRHS, double* A, int* LDA, int* IPIV, double* B, int* LDB, double* WORK, int* LWORK, int* INFO);
                dsysv_( &Uchar, &n, &nrhs, a.data(), &lda, ipiv.data(), b.data(), &ldb, work.data(), &lwork, &info);
            } else {
                
                // dgesv( int N, int NRHS, double A, int LDA, int IPIV, double B, int LDB, int INFO);
                dgesv_( &n, &nrhs, a.data(), &lda, ipiv.data(), b.data(), &ldb, &info );
            }
            
        } catch(std::exception &ex) {
            Rcpp::Rcout<< ex.what();
            return(Eigen::MatrixXd::Zero(2,2));
        }
        
        return(b);
        
    }

8 Usage Example

#include "BigDataStatMeth.hpp"

// Example usage
auto result = RcppSolve(...);