nnmnkwii.util.linalg.cholesky_inv

nnmnkwii.util.linalg.cholesky_inv(L, lower=False)[source]

Compute inverse matrix of real symmetric positive definite matrix using choleskey factorization.

The function internally uses LAPACK’s dportri.

Parameters:
  • 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:

Inverse matrix (full storage).
Return type:

numpy.ndarrray