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WIP: Resolve "Cholesky vs maxent"

Florian Goth requested to merge 113-cholesky-vs-maxent into master

Closes #113. Replaces the previously used eigenvalue decomposition with a cholesky decomposition in case of a dense covariance matrix. Things to note:

  • made some intents on function arguments clearer.
  • Testing occured on artificial input. All data that i touched in Fakher's testsuite had covariance matrices which are not positive definite.

In the attachment you'll find a small test program and compare that the resulting norms are equal, although the generated vectors are different.test.f03

Edited by Florian Goth

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