swaits
284f1143de
Hand-rolled `A = L · L^T` factorization plus forward/backward triangular solves, used by the upcoming Bayesian Optimization implementation for the GP posterior. Same f64 row-major Vec<Vec<f64>> interface as the existing Jacobi eigen helper so we don't pull in nalgebra for one algorithm. Returns Err on non-positive-definite input (a small jitter is the typical caller-side fix). Tested against the standard 2x2 case, the 3x3 known-result case, A·x = b round-trip, and the SPD-failure case.
5 lines
129 B
Rust
5 lines
129 B
Rust
//! Internal helpers used by built-in algorithms but not part of the public API.
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pub(crate) mod cholesky;
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pub(crate) mod eigen;
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