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generalised backsub_both_sides

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James Hensman 2013-05-14 11:20:44 +01:00
parent 225c35d55d
commit 350fa39685
1 changed files with 8 additions and 3 deletions
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11
GPy/util/linalg.py
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@ -322,7 +322,12 @@ def cholupdate(L,x):
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):
def backsub_both_sides(L, X,transpose='left'):
""" Return L^-T * X * L^-1, assumuing X is symmetrical and L is lower cholesky"""
tmp, _ = linalg.lapack.flapack.dtrtrs(L, np.asfortranarray(X), lower=1, trans=1)
return linalg.lapack.flapack.dtrtrs(L, np.asfortranarray(tmp.T), lower=1, trans=1)[0].T
if transpose=='left':
tmp, _ = linalg.lapack.flapack.dtrtrs(L, np.asfortranarray(X), lower=1, trans=1)
return linalg.lapack.flapack.dtrtrs(L, np.asfortranarray(tmp.T), lower=1, trans=1)[0].T
else:
tmp, _ = linalg.lapack.flapack.dtrtrs(L, np.asfortranarray(X), lower=1, trans=0)
return linalg.lapack.flapack.dtrtrs(L, np.asfortranarray(tmp.T), lower=1, trans=0)[0].T