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Published 20 hours ago • verified publisher icon rust-ndarray

Cholesky factorization of PSD matrices

Open Arnaud15 opened this issue 4 years ago • 0 comments

Very limited proof of concept PR to wrap around LAPACK's dpstrf and carry out the Cholesky Factorization of PSD matrices.

In its current state of ndarray_linalg does not handle this use case.

See this issue for a discussion. Another problem is that ndarray_linalg will currently return errors with solveh when used on singular but still PSD matrices.

Arnaud15 avatar Sep 25 '20 19:09 Arnaud15