Representation of a positive semidefinite matrix in factored form.
The representation is constructed based on a vector diag and rectangular matrix root, such that the PSD matrix represented by the class instance is Diag + root * root’, where Diag is the square diagonal matrix with diag on its main diagonal.
Parameters: | diag : 1d array-like
root : 2d array-like
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Notes
The matrix is represented internally in the form Diag^{1/2}(I + factor * scales * factor’)Diag^{1/2}, where Diag and scales are diagonal matrices, and factor is an orthogonal matrix.
Methods
decorrelate(rhs) | Decorrelate the columns of rhs. |
logdet() | Returns the logarithm of the determinant of a factor-structured matrix. |
solve(rhs) | Solve a linear system of equations with factor-structured coefficients. |
to_matrix() | Returns the PSD matrix represented by this instance as a full (square) matrix. |
Methods
decorrelate(rhs) | Decorrelate the columns of rhs. |
logdet() | Returns the logarithm of the determinant of a factor-structured matrix. |
solve(rhs) | Solve a linear system of equations with factor-structured coefficients. |
to_matrix() | Returns the PSD matrix represented by this instance as a full (square) matrix. |