Source code for nnmnkwii.util.linalg

# coding: utf-8
from __future__ import absolute_import, division, print_function

import numpy as np

from ._linalg import cholesky_inv_banded as _cholesky_inv_banded
from ._linalg import dpotri_full_L, dpotri_full_U

[docs]def cholesky_inv(L, lower=False): """Compute inverse matrix of real symmetric positive definite matrix using choleskey factorization. The function internally uses LAPACK's ``dportri``. Args: L (numpy.ndarray[dtype=float64]): Lower or upper triangle matrix given by choleskey factorization. lower: Set ``True` if you give lower triangle matrix, ``False`` otherwise. Returns: numpy.ndarrray: Inverse matrix (full storage). """ N1, N2 = L.shape assert N1 == N2 assert L.dtype == np.float64 N = N1 # transpose for array order difference (probably) B = L.T.copy() # Inplace operations if lower: dpotri_full_L(N, B.ravel(), N) else: dpotri_full_U(N, B.ravel(), N) return B
[docs]def cholesky_inv_banded(L, width=3): # TODO return _cholesky_inv_banded(L, width)