Added static initializer for identity matrix.

src/Numerics/LinearAlgebra/Double/DenseMatrix.cs

@@ -397,5 +397,24 @@ namespace MathNet.Numerics.LinearAlgebra.Double
         }
 
         #endregion
+
+        #region Static constructors for special matrices.
+        /// <summary>
+        /// Initializes a square <see cref="DenseMatrix"/> with all zero's except for ones on the diagonal.
+        /// </summary>
+        /// <param name="order">the size of the square matrix.</param>
+        /// <exception cref="ArgumentException">
+        /// If <paramref name="order"/> is less than one.
+        /// </exception>
+        public static DenseMatrix Identity(int order)
+        {
+            var m = new DenseMatrix(order);
+            for (int i = 0; i < order; i++)
+            {
+                m[i, i] = 1.0;
+            }
+            return m;
+        }
+        #endregion
     }
 }

src/UnitTests/LinearAlgebraTests/Double/DenseMatrixTests.cs

@@ -120,5 +120,34 @@ namespace MathNet.Numerics.UnitTests.LinearAlgebraTests.Double
                 }
             }
         }
+
+        [Test]
+        public void CanCreateIdentity()
+        {
+            var matrix = DenseMatrix.Identity(5);
+            for (var i = 0; i < matrix.RowCount; i++)
+            {
+                for (var j = 0; j < matrix.ColumnCount; j++)
+                {
+                    if (i == j)
+                    {
+                        Assert.AreEqual(1.0, matrix[i, j]);
+                    }
+                    else
+                    {
+                        Assert.AreEqual(0.0, matrix[i, j]);
+                    }
+                }
+            }
+        }
+
+        [Test]
+        [Row(0)]
+        [Row(-1)]
+        [ExpectedArgumentException]
+        public void IdentityFailsWithZeroOrNegativeOrder(int order)
+        {
+            var matrix = DenseMatrix.Identity(order);
+        }
     }
 }