eive-obsw/mission/controller/acs/util/CholeskyDecomposition.h

/*
 * TinyEKF: Extended Kalman Filter for embedded processors
 *
 * Copyright (C) 2015 Simon D. Levy
 *
 * MIT License
 */
#ifndef CHOLESKYDECOMPOSITION_H_
#define CHOLESKYDECOMPOSITION_H_
#include <math.h>
// typedef unsigned int uint8_t;

template <typename T1, typename T2 = T1, typename T3 = T2>
class CholeskyDecomposition {
 public:
  static int invertCholesky(T1 *matrix, T2 *result, T3 *tempMatrix, const uint8_t dimension) {
    // https://github.com/simondlevy/TinyEKF/blob/master/tiny_ekf.c
    return cholsl(matrix, result, tempMatrix, dimension);
  }

 private:
  // https://github.com/simondlevy/TinyEKF/blob/master/tiny_ekf.c
  static uint8_t choldc1(double *a, double *p, uint8_t n) {
    int8_t i, j, k;
    double sum;

    for (i = 0; i < n; i++) {
      for (j = i; j < n; j++) {
        sum = a[i * n + j];
        for (k = i - 1; k >= 0; k--) {
          sum -= a[i * n + k] * a[j * n + k];
        }
        if (i == j) {
          if (sum <= 0) {
            return 1; /* error */
          }
          p[i] = sqrt(sum);
        } else {
          a[j * n + i] = sum / p[i];
        }
      }
    }

    return 0; /* success */
  }

  // https://github.com/simondlevy/TinyEKF/blob/master/tiny_ekf.c
  static uint8_t choldcsl(double *A, double *a, double *p, uint8_t n) {
    uint8_t i, j, k;
    double sum;
    for (i = 0; i < n; i++)
      for (j = 0; j < n; j++) a[i * n + j] = A[i * n + j];
    if (choldc1(a, p, n)) return 1;
    for (i = 0; i < n; i++) {
      a[i * n + i] = 1 / p[i];
      for (j = i + 1; j < n; j++) {
        sum = 0;
        for (k = i; k < j; k++) {
          sum -= a[j * n + k] * a[k * n + i];
        }
        a[j * n + i] = sum / p[j];
      }
    }

    return 0; /* success */
  }

  // https://github.com/simondlevy/TinyEKF/blob/master/tiny_ekf.c
  static uint8_t cholsl(double *A, double *a, double *p, uint8_t n) {
    uint8_t i, j, k;
    if (choldcsl(A, a, p, n)) return 1;
    for (i = 0; i < n; i++) {
      for (j = i + 1; j < n; j++) {
        a[i * n + j] = 0.0;
      }
    }
    for (i = 0; i < n; i++) {
      a[i * n + i] *= a[i * n + i];
      for (k = i + 1; k < n; k++) {
        a[i * n + i] += a[k * n + i] * a[k * n + i];
      }
      for (j = i + 1; j < n; j++) {
        for (k = j; k < n; k++) {
          a[i * n + j] += a[k * n + i] * a[k * n + j];
        }
      }
    }
    for (i = 0; i < n; i++) {
      for (j = 0; j < i; j++) {
        a[i * n + j] = a[j * n + i];
      }
    }

    return 0; /* success */
  }
};

#endif /* CONTRIB_MATH_CHOLESKYDECOMPOSITION_H_ */