Fix invert PSD matrix.

This CL fixes and simplifies the implementation of InvertPSDMatrix.
InvertPSDMatrix uses a JacobiSVD with thin U and V. This requires a
variable number of columns, which is not always the case, which
triggers an assert in debug mode. The type of the matrix is changed
to always use a dynamic number of columns.

In addition, instead of calculating the inverse of the matrix by hand,
the SVD solve method is used.

Change-Id: I353c741cf537b58eb5b18663902318babe1a66de
1 file changed
tree: 0e602a0ffc20e9aa6481b4fda7b78e1dc099e666
  1. .clang-format
  2. .gitignore
  3. .travis.yml
  4. BUILD
  5. CMakeLists.txt
  10. bazel/
  11. cmake/
  12. config/
  13. data/
  14. docs/
  15. examples/
  16. include/
  17. internal/
  18. package.xml
  19. scripts/
  20. travis/

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Ceres Solver

Ceres Solver is an open source C++ library for modeling and solving large, complicated optimization problems. It is a feature rich, mature and performant library which has been used in production at Google since 2010. Ceres Solver can solve two kinds of problems.

  1. Non-linear Least Squares problems with bounds constraints.
  2. General unconstrained optimization problems.

Please see for more information.