1 files changed, 79 insertions, 0 deletions
diff --git a/extern/ceres/internal/ceres/invert_psd_matrix.h b/extern/ceres/internal/ceres/invert_psd_matrix.h
new file mode 100644
index 00000000000..21d301a77ee
--- /dev/null
+++ b/extern/ceres/internal/ceres/invert_psd_matrix.h
@@ -0,0 +1,79 @@
+// Ceres Solver - A fast non-linear least squares minimizer
+// Copyright 2017 Google Inc. All rights reserved.
+// http://ceres-solver.org/
+//
+// 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 Google Inc. 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.
+//
+// Author: sameeragarwal@google.com (Sameer Agarwal)
+
+#ifndef CERES_INTERNAL_INVERT_PSD_MATRIX_H_
+#define CERES_INTERNAL_INVERT_PSD_MATRIX_H_
+
+#include "ceres/internal/eigen.h"
+#include "glog/logging.h"
+#include "Eigen/Dense"
+
+namespace ceres {
+namespace internal {
+
+// Helper routine to compute the inverse or pseudo-inverse of a
+// symmetric positive semi-definite matrix.
+//
+// assume_full_rank controls whether a Cholesky factorization or an
+// Singular Value Decomposition is used to compute the inverse and the
+// pseudo-inverse respectively.
+//
+// The template parameter kSize can either be Eigen::Dynamic or a
+// positive integer equal to the number of rows of m.
+template <int kSize>
+typename EigenTypes<kSize, kSize>::Matrix InvertPSDMatrix(
+    const bool assume_full_rank,
+    const typename EigenTypes<kSize, kSize>::Matrix& m) {
+  using MType = typename EigenTypes<kSize, kSize>::Matrix;
+  const int size = m.rows();
+
+  // If the matrix can be assumed to be full rank, then if it is small
+  // (< 5) and fixed size, use Eigen's optimized inverse()
+  // implementation.
+  //
+  // https://eigen.tuxfamily.org/dox/group__TutorialLinearAlgebra.html#title3
+  if (assume_full_rank) {
+    if (kSize > 0 && kSize < 5) {
+      return m.inverse();
+    }
+    return m.template selfadjointView<Eigen::Upper>().llt().solve(
+        MType::Identity(size, size));
+  }
+
+  // For a thin SVD the number of columns of the matrix need to be dynamic.
+  using SVDMType = typename EigenTypes<kSize, Eigen::Dynamic>::Matrix;
+  Eigen::JacobiSVD<SVDMType> svd(m, Eigen::ComputeThinU | Eigen::ComputeThinV);
+  return svd.solve(MType::Identity(size, size));
+}
+
+}  // namespace internal
+}  // namespace ceres
+
+#endif // CERES_INTERNAL_INVERT_PSD_MATRIX_H_