tree 9f020708a8b6169ad6e77c95ff2d5a605a363bf0
parent 22b26cd7b75c678eff28557f2d3a862c635bb63e
author Mike Vitus <mike@hidof.com> 1404857482 -0700
committer Mike Vitus <mike@hidof.com> 1405114968 -0700

Adds support for computing the covariance using Eigen's sparse QR module.

For smaller problems Eigen is faster than SuiteSparseQR. This has been
tested with Eigen 3.2.1. Below are detailed timings. Problem 1 is the
smallest and problem 3 is the largest. The timings below are:
mean +- standard deviation.

Problem 1:
Eigen       0.0009218 +- 0.0002755
SuiteSparse 0.001406 +- 0.001610

Problem 2:
Eigen       0.002338 +- 0.001005
SuiteSparse 0.001910 +- 0.0004513

Problem 3:
Eigen       0.005455 +- 0.001759
SuiteSparse 0.002411 +- 0.0004974

Detailed problem descriptions:

Problem 1 size:
                               Original                  Reduced
Parameter blocks                533                       54
Parameters                      368                      104
Effective parameters           1201                       94
Residual blocks                 233                       77
Residual                       1194                      258

Problem 2 size:
                              Original                  Reduced
Parameter blocks                573                       84
Parameters                     1458                      184
Effective parameters           1281                      164
Residual blocks                 263                      107
Residual                       1314                      378

Problem 3 size:
                              Original                  Reduced
Parameter blocks                613                      114
Parameters                     1548                      264
Effective parameters           1361                      234
Residual blocks                 293                      137
Residual                       1434                      498

Change-Id: I884a67e2f728fe2992812148d82ccf5f27864fd7