probnum.utils.linalg

Utility functions that involve numerical linear algebra.

Functions

cholesky_update(S1[, S2])

Compute Cholesky update/factorization \(L\) such that \(L L^\top = S_1 S_1^\top + S_2 S_2^\top\) holds.

tril_to_positive_tril(tril_mat)

Orthogonally transform a lower-triangular matrix into a lower-triangular matrix with positive diagonal.