Bending non-positive-definite matrices to positive-definite
Project description
pymbend
Description
mbend is an "R package for bending non-positive-definite matrices to positive-definite".
This is a simple port of mbend to Python, with the goal of improving computation time.
Some naive timings are below:
| Matrix size | mbend time [s] |
pymbend time [s] |
|---|---|---|
| 100 | 0.89 | 0.85 |
| 200 | 13.8 | 4.4 |
| 500 | 1370.6 | 36.7 |
These were made on a 2021 Intel MacBook Pro.
In addition, it adds the ability to bend a matrix ($A$) to satisfy a generalized Rayleigh quotient inequality: $$0 \leq \frac{\beta^\intercal A \beta}{\beta^\intercal B \beta} \leq 1$$
Installation
pip install git+https://github.com/zietzm/pymbend
License
pymbend is distributed under the terms of the MIT license.
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