adding choleskies cythonized

GPy/util/choleskies_cython.pyx

@@ -0,0 +1,42 @@
+# Copyright James Hensman and Alan Saul 2015
+
+import numpy as np
+cimport numpy as np
+
+from . import linalg
+
+def flat_to_triang(np.ndarray[double, ndim=3] flat, int M):
+    """take a matrix N x D and return a M X M x D array where
+
+    N = M(M+1)/2
+
+    the lower triangluar portion of the d'th slice of the result is filled by the d'th column of flat.
+    This is the weave implementation
+    """
+    cdef int N = flat.shape[0]
+    cdef int D = flat.shape[1]
+    cdef int count = 0
+    cdef np.ndarray[double, ndim=2] ret = np.empty((M, M, D))
+    for d in range(D):
+        count = 0
+        for m in range(M):
+            for mm in range(m):
+                ret[m, mm, d] = flat[count,d]
+                count += 1
+    return ret
+
+def triang_to_flat(np.ndarray[double, ndim=3] L):
+    cdef int M = L.shape[0]
+    cdef int D = L.shape[2]
+    cdef int N = M*(M+1)/2
+    cdef int count = 0
+    cdef np.ndarray[double, ndim=2] flat = np.empty((N, D))
+    for d in range(D):
+        count = 0
+        for m in range(M):
+            for mm in range(m):
+                flat[count,d] = L[m, mm, d]
+                count += 1
+    return flat
+
+