Make Cholesky factorization compatible with 0.7

Note that the error handling is still a bit different as `_chol!` still
throws an error instead of returning a non-zero `info`.

Author: martinholters

src/SDiagonal.jl

@@ -94,7 +94,7 @@ else
     log(D::SDiagonal) = SDiagonal(log.(D.diag))
     sqrt(D::SDiagonal) = SDiagonal(sqrt.(D.diag))
 end
-LinearAlgebra.chol(D::SDiagonal) = SDiagonal(Base.chol.(D.diag))
+LinearAlgebra.chol(D::SDiagonal) = SDiagonal(chol.(D.diag))
 LinearAlgebra._chol!(D::SDiagonal, ::Type{UpperTriangular}) = chol(D)
 
 \(D::SDiagonal, B::StaticMatrix) = scalem(1 ./ D.diag, B)
@@ -112,4 +112,3 @@ function inv(D::SDiagonal)
     check_singular(D)
     SDiagonal(inv.(D.diag))
 end
-

src/cholesky.jl

@@ -1,13 +1,23 @@
 # Generic Cholesky decomposition for fixed-size matrices, mostly unrolled
+if isdefined(Compat.LinearAlgebra, :non_hermitian_error)
+    non_hermitian_error() = Compat.LinearAlgebra.non_hermitian_error("chol")
+else
+    non_hermitian_error() = throw(Compat.LinearAlgebra.PosDefException(-1))
+end
 @inline function LinearAlgebra.chol(A::StaticMatrix)
-    ishermitian(A) || LinearAlgebra.non_hermitian_error("chol")
+    ishermitian(A) || non_hermitian_error()
     _chol(Size(A), A)
 end
 
 @inline function LinearAlgebra.chol(A::LinearAlgebra.RealHermSymComplexHerm{<:Real, <:StaticMatrix})
     _chol(Size(A), A.data)
 end
-@inline LinearAlgebra._chol!(A::StaticMatrix, ::Type{UpperTriangular}) = chol(A)
+if VERSION < v"0.7.0-DEV.393"
+    @inline LinearAlgebra._chol!(A::StaticMatrix, ::Type{UpperTriangular}) = chol(A)
+else
+    # TODO should return non-zero info instead of throwing on errors
+    @inline LinearAlgebra._chol!(A::StaticMatrix, ::Type{UpperTriangular}) = (chol(A), 0)
+end
 
 
 @generated function _chol(::Size{(1,1)}, A::StaticMatrix)
@@ -50,4 +60,4 @@ end
 end
 
 # Otherwise default algorithm returning wrapped SizedArray
-@inline _chol(s::Size, A::StaticArray) = s(full(chol(Hermitian(Array(A)))))
+@inline _chol(s::Size, A::StaticArray) = s(Matrix(chol(Hermitian(Array(A)))))

test/SDiagonal.jl

@@ -1,8 +1,10 @@
+using Compat.LinearAlgebra: chol
+
 @testset "SDiagonal" begin
     @testset "Constructors" begin
         @test SDiagonal{1,Int64}((1,)).diag === SVector{1,Int64}((1,))
         @test SDiagonal{1,Float64}((1,)).diag === SVector{1,Float64}((1,))
-     
+
         @test SDiagonal{4,Float64}((1, 1.0, 1, 1)).diag.data === (1.0, 1.0, 1.0, 1.0)
         @test SDiagonal{4}((1, 1.0, 1, 1)).diag.data === (1.0, 1.0, 1.0, 1.0)
         @test SDiagonal((1, 1.0, 1, 1)).diag.data === (1.0, 1.0, 1.0, 1.0)

test/chol.jl

@@ -1,4 +1,11 @@
+using StaticArrays, Compat, Compat.Test, Compat.LinearAlgebra
+
 @testset "Cholesky decomposition" begin
+    if isdefined(Compat.LinearAlgebra, :PosDefException)
+        PosDefException = Compat.LinearAlgebra.PosDefException
+    else
+        PosDefException = ArgumentError
+    end
     @testset "1×1" begin
         m = @SMatrix [4.0]
         (c,) = chol(m)
@@ -8,7 +15,7 @@
     @testset "2×2" for i = 1:100
         m_a = randn(2,2)
         #non hermitian
-        @test_throws ArgumentError chol(SMatrix{2,2}(m_a))
+        @test_throws PosDefException chol(SMatrix{2,2}(m_a))
         m_a = m_a*m_a'
         m = SMatrix{2,2}(m_a)
         @test chol(Hermitian(m)) ≈ chol(m_a)
@@ -17,7 +24,7 @@
     @testset "3×3" for i = 1:100
         m_a = randn(3,3)
         #non hermitian
-        @test_throws ArgumentError chol(SMatrix{3,3}(m_a))
+        @test_throws PosDefException chol(SMatrix{3,3}(m_a))
         m_a = m_a*m_a'
         m = SMatrix{3,3}(m_a)
         @test chol(m) ≈ chol(m_a)
@@ -26,7 +33,7 @@
     @testset "4×4" for i = 1:100
         m_a = randn(4,4)
         #non hermitian
-        @test_throws ArgumentError chol(SMatrix{4,4}(m_a))
+        @test_throws PosDefException chol(SMatrix{4,4}(m_a))
         m_a = m_a*m_a'
         m = SMatrix{4,4}(m_a)
         @test chol(m) ≈ chol(m_a)
@@ -36,7 +43,7 @@
         m_a = randn(3,3)
         m_a = m_a*m_a'
         m = SMatrix{3,3}(m_a)
-        @test chol(reshape([m, 0m, 0m, m], 2, 2)) == 
+        @test chol(reshape([m, 0m, 0m, m], 2, 2)) ==
             reshape([chol(m), 0m, 0m, chol(m)], 2, 2)
     end
 end