1 files changed, 142 insertions, 0 deletions
diff --git a/eigen/bench/benchCholesky.cpp b/eigen/bench/benchCholesky.cpp
new file mode 100644
index 0000000..42b3e12
--- /dev/null
+++ b/eigen/bench/benchCholesky.cpp
@@ -0,0 +1,142 @@
+
+// g++ -DNDEBUG -O3 -I.. benchLLT.cpp  -o benchLLT && ./benchLLT
+// options:
+//  -DBENCH_GSL -lgsl /usr/lib/libcblas.so.3
+//  -DEIGEN_DONT_VECTORIZE
+//  -msse2
+//  -DREPEAT=100
+//  -DTRIES=10
+//  -DSCALAR=double
+
+#include <iostream>
+
+#include <Eigen/Core>
+#include <Eigen/Cholesky>
+#include <bench/BenchUtil.h>
+using namespace Eigen;
+
+#ifndef REPEAT
+#define REPEAT 10000
+#endif
+
+#ifndef TRIES
+#define TRIES 10
+#endif
+
+typedef float Scalar;
+
+template <typename MatrixType>
+__attribute__ ((noinline)) void benchLLT(const MatrixType& m)
+{
+  int rows = m.rows();
+  int cols = m.cols();
+
+  int cost = 0;
+  for (int j=0; j<rows; ++j)
+  {
+    int r = std::max(rows - j -1,0);
+    cost += 2*(r*j+r+j);
+  }
+
+  int repeats = (REPEAT*1000)/(rows*rows);
+
+  typedef typename MatrixType::Scalar Scalar;
+  typedef Matrix<Scalar, MatrixType::RowsAtCompileTime, MatrixType::RowsAtCompileTime> SquareMatrixType;
+
+  MatrixType a = MatrixType::Random(rows,cols);
+  SquareMatrixType covMat =  a * a.adjoint();
+
+  BenchTimer timerNoSqrt, timerSqrt;
+
+  Scalar acc = 0;
+  int r = internal::random<int>(0,covMat.rows()-1);
+  int c = internal::random<int>(0,covMat.cols()-1);
+  for (int t=0; t<TRIES; ++t)
+  {
+    timerNoSqrt.start();
+    for (int k=0; k<repeats; ++k)
+    {
+      LDLT<SquareMatrixType> cholnosqrt(covMat);
+      acc += cholnosqrt.matrixL().coeff(r,c);
+    }
+    timerNoSqrt.stop();
+  }
+
+  for (int t=0; t<TRIES; ++t)
+  {
+    timerSqrt.start();
+    for (int k=0; k<repeats; ++k)
+    {
+      LLT<SquareMatrixType> chol(covMat);
+      acc += chol.matrixL().coeff(r,c);
+    }
+    timerSqrt.stop();
+  }
+
+  if (MatrixType::RowsAtCompileTime==Dynamic)
+    std::cout << "dyn   ";
+  else
+    std::cout << "fixed ";
+  std::cout << covMat.rows() << " \t"
+            << (timerNoSqrt.value() * REPEAT) / repeats << "s "
+            << "(" << 1e-6 * cost*repeats/timerNoSqrt.value() << " MFLOPS)\t"
+            << (timerSqrt.value() * REPEAT) / repeats << "s "
+            << "(" << 1e-6 * cost*repeats/timerSqrt.value() << " MFLOPS)\n";
+
+
+  #ifdef BENCH_GSL
+  if (MatrixType::RowsAtCompileTime==Dynamic)
+  {
+    timerSqrt.reset();
+
+    gsl_matrix* gslCovMat = gsl_matrix_alloc(covMat.rows(),covMat.cols());
+    gsl_matrix* gslCopy = gsl_matrix_alloc(covMat.rows(),covMat.cols());
+
+    eiToGsl(covMat, &gslCovMat);
+    for (int t=0; t<TRIES; ++t)
+    {
+      timerSqrt.start();
+      for (int k=0; k<repeats; ++k)
+      {
+        gsl_matrix_memcpy(gslCopy,gslCovMat);
+        gsl_linalg_cholesky_decomp(gslCopy);
+        acc += gsl_matrix_get(gslCopy,r,c);
+      }
+      timerSqrt.stop();
+    }
+
+    std::cout << " | \t"
+              << timerSqrt.value() * REPEAT / repeats << "s";
+
+    gsl_matrix_free(gslCovMat);
+  }
+  #endif
+  std::cout << "\n";
+  // make sure the compiler does not optimize too much
+  if (acc==123)
+    std::cout << acc;
+}
+
+int main(int argc, char* argv[])
+{
+  const int dynsizes[] = {4,6,8,16,24,32,49,64,128,256,512,900,0};
+  std::cout << "size            no sqrt                           standard";
+//   #ifdef BENCH_GSL
+//   std::cout << "       GSL (standard + double + ATLAS)  ";
+//   #endif
+  std::cout << "\n";
+  for (uint i=0; dynsizes[i]>0; ++i)
+    benchLLT(Matrix<Scalar,Dynamic,Dynamic>(dynsizes[i],dynsizes[i]));
+
+  benchLLT(Matrix<Scalar,2,2>());
+  benchLLT(Matrix<Scalar,3,3>());
+  benchLLT(Matrix<Scalar,4,4>());
+  benchLLT(Matrix<Scalar,5,5>());
+  benchLLT(Matrix<Scalar,6,6>());
+  benchLLT(Matrix<Scalar,7,7>());
+  benchLLT(Matrix<Scalar,8,8>());
+  benchLLT(Matrix<Scalar,12,12>());
+  benchLLT(Matrix<Scalar,16,16>());
+  return 0;
+}
+