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<?xml version='1.0'?>
<html xmlns='http://www.w3.org/1999/xhtml'
      xmlns:math='http://www.w3.org/1998/Math/MathML'
>
<head>
<title>Using Eigen To Compute Determinant: Example and Test</title>
<meta http-equiv='Content-Type' content='text/html' charset='utf-8'/>
<meta name="description" id="description" content="Using Eigen To Compute Determinant: Example and Test"/>
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<body>
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<center><b><big><big>Using Eigen To Compute Determinant: Example and Test</big></big></b></center>
<code><font color="blue"><pre style='display:inline'> 
# include &lt;cppad/example/cppad_eigen.hpp&gt;
# include &lt;cppad/speed/det_by_minor.hpp&gt;
# include &lt;Eigen/Dense&gt;

bool eigen_det(void)
{	bool ok = true;
	using CppAD::AD;
	using CppAD::NearEqual;
	using Eigen::Matrix;
	using Eigen::Dynamic;
	//
	typedef Matrix&lt; double     , Dynamic, Dynamic &gt; matrix;
	typedef Matrix&lt; <a href="ad.xml" target="_top">AD</a>&lt;double&gt; , Dynamic, Dynamic &gt; a_matrix;
	//
	typedef Matrix&lt; double ,     Dynamic , 1&gt;       vector;
	typedef Matrix&lt; <a href="ad.xml" target="_top">AD</a>&lt;double&gt; , Dynamic , 1&gt;       a_vector;
	// some temporary indices
	size_t i, j;

	// domain and range space vectors
	size_t size = 3, n  = size * size, m = 1;
	a_vector a_x(n), a_y(m);
	vector x(n);

	// set and declare independent variables and start tape recording
	for(i = 0; i &lt; size; i++)
	{	for(j = 0; j &lt; size; j++)
		{	// lower triangular matrix 
			a_x[i * size + j] = x[i * size + j] = 0.0;
			if( j &lt;= i )
				a_x[i * size + j] = x[i * size + j] = double(1 + i + j);
		}
	}
	CppAD::<a href="independent.xml" target="_top">Independent</a>(a_x);

	// copy independent variable vector to a matrix
	a_matrix a_X(size, size);
	matrix X(size, size);
	for(i = 0; i &lt; size; i++)
	{	for(j = 0; j &lt; size; j++)
		{	X(i, j)   = x[i * size + j];
			// If we used a_X(i, j) = X(i, j), a_X would not depend on a_x.
			a_X(i, j) = a_x[i * size + j];
		}
	}

	// Compute the log of determinant of X
	a_y[0] = log( a_X.determinant() );

	// create f: x -&gt; y and stop tape recording
	CppAD::<a href="funconstruct.xml" target="_top">ADFun</a>&lt;double&gt; f(a_x, a_y); 

	// check function value 
	double eps = 100. * CppAD::numeric_limits&lt;double&gt;::epsilon();
	CppAD::det_by_minor&lt;double&gt; det(size); 
	ok &amp;= <a href="nearequal.xml" target="_top">NearEqual</a>(Value(a_y[0]) , log(det(x)), eps, eps);

	// compute the derivative of y w.r.t x using CppAD
	vector jac = f.<a href="jacobian.xml" target="_top">Jacobian</a>(x);

	// check the derivative using the formula
	// d/dX log(det(X)) = transpose( inv(X) )
	matrix inv_X = X.inverse();
	for(i = 0; i &lt; size; i++)
	{	for(j = 0; j &lt; size; j++)
			ok &amp;= <a href="nearequal.xml" target="_top">NearEqual</a>(jac[i * size + j], inv_X(j, i), eps, eps);
	}

	return ok;
}

</pre>

</font></code>


<hr/>Input File: example/eigen_det.cpp

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