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updated 5 months ago

Fast Symmetric Positive Definite Matrix Inverse by Eric Blake

Eric Blake

Uses LAPACK, Cholesky to invert real, positive definite, symmetric matrix. Faster than inv. (cholesky decompositio..., covariance matrix, kalman filter)


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updated 1 year ago

nearestSPD by John D'Errico

John D'Errico

Finding the nearest positive definite matrix (positive definite mat..., covariance matrix, covariance)



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