Function diagonalize

cvxpy/cvxcore/src/Utils.cpp:133–146

Create a giant diagonal matrix with entries given by the entries of mat.

// Create a giant diagonal matrix with entries given by the entries of mat.
Matrix diagonalize(const Matrix &mat) {
  Matrix diag(mat.rows() * mat.cols(), mat.rows() * mat.cols());
  std::vector<Triplet> tripletList;
  tripletList.reserve(mat.nonZeros());
  for (int k = 0; k < mat.outerSize(); ++k) {
    for (Matrix::InnerIterator it(mat, k); it; ++it) {
      unsigned loc = it.row() + k * mat.rows();
      tripletList.push_back(Triplet(loc, loc, it.value()));
    }
  }
  diag.setFromTriplets(tripletList.begin(), tripletList.end());
  diag.makeCompressed();
  return diag;
}