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Commented out cholupdate since it uses weave and appears not to be used

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This commit is contained in:
Mike Croucher 2015-02-26 16:55:17 +00:00
parent e5080eb0ad
commit 046bd3d955
1 changed files with 29 additions and 28 deletions
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57
GPy/util/linalg.py
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@ -489,34 +489,35 @@ def symmetrify_numpy(A, upper=False):
else:
A[triu] = A.T[triu]
def cholupdate(L, x):
"""
update the LOWER cholesky factor of a pd matrix IN PLACE
if L is the lower chol. of K, then this function computes L\_
where L\_ is the lower chol of K + x*x^T
"""
support_code = """
#include <math.h>
"""
code = """
double r,c,s;
int j,i;
for(j=0; j<N; j++){
r = sqrt(L(j,j)*L(j,j) + x(j)*x(j));
c = r / L(j,j);
s = x(j) / L(j,j);
L(j,j) = r;
for (i=j+1; i<N; i++){
L(i,j) = (L(i,j) + s*x(i))/c;
x(i) = c*x(i) - s*L(i,j);
}
}
"""
x = x.copy()
N = x.size
weave.inline(code, support_code=support_code, arg_names=['N', 'L', 'x'], type_converters=weave.converters.blitz)
#This function appears to be unused. It's use of weave makes it problematic
#Commenting out for now
#def cholupdate(L, x):
# """
# update the LOWER cholesky factor of a pd matrix IN PLACE
#
# if L is the lower chol. of K, then this function computes L\_
# where L\_ is the lower chol of K + x*x^T
# """
# support_code = """
# #include <math.h>
# """
# code = """
# double r,c,s;
# int j,i;
# for(j=0; j<N; j++){
# r = sqrt(L(j,j)*L(j,j) + x(j)*x(j));
# c = r / L(j,j);
# s = x(j) / L(j,j);
# L(j,j) = r;
# for (i=j+1; i<N; i++){
# L(i,j) = (L(i,j) + s*x(i))/c;
# x(i) = c*x(i) - s*L(i,j);
# }
# }
# """
# x = x.copy()
# N = x.size
# weave.inline(code, support_code=support_code, arg_names=['N', 'L', 'x'], type_converters=weave.converters.blitz)
def backsub_both_sides(L, X, transpose='left'):
""" Return L^-T * X * L^-1, assumuing X is symmetrical and L is lower cholesky"""