Add covariance matrix for a vector of parameters

Computing the covariance matrix for a number of parameter blocks
previously required adding all parameter blocks to the computation and
subsequently assembling the matrix by concatenating all the blocks.

This patch adds the computation of the covariance matrix for a vector
of parameter blocks. All covariance block pairs are added automatically
and the resulting covariance matrix is assembled in the order the
parameter blocks appear.

Change-Id: I3b70c63f16862adc23a1d7fb7a21dde4e68abe9a
This commit is contained in:
Wannes Van Loock
2015-12-07 14:51:23 +01:00
committed by Keir Mierle
parent 7ec8ba2a64
commit b0bf9fd2a9
5 changed files with 330 additions and 0 deletions
+9
View File
@@ -55,12 +55,21 @@ class CovarianceImpl {
const double*> >& covariance_blocks,
ProblemImpl* problem);
bool Compute(
const std::vector<const double*>& parameter_blocks,
ProblemImpl* problem);
bool GetCovarianceBlockInTangentOrAmbientSpace(
const double* parameter_block1,
const double* parameter_block2,
bool lift_covariance_to_ambient_space,
double* covariance_block) const;
bool GetCovarianceMatrixInTangentOrAmbientSpace(
const std::vector<const double*>& parameters,
bool lift_covariance_to_ambient_space,
double *covariance_matrix) const;
bool ComputeCovarianceSparsity(
const std::vector<std::pair<const double*,
const double*> >& covariance_blocks,