1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
|
import math
try:
from ulab import scipy, numpy as np
except ImportError:
import scipy
import numpy as np
## test cholesky solve
L = np.array([[3, 0, 0, 0], [2, 1, 0, 0], [1, 0, 1, 0], [1, 2, 1, 8]])
b = np.array([4, 2, 4, 2])
# L needs to be a lower triangular matrix
result = scipy.linalg.cho_solve(L, b)
ref_result = np.array([-0.01388888888888906, -0.6458333333333331, 2.677083333333333, -0.01041666666666667])
for i in range(4):
print(math.isclose(result[i], ref_result[i], rel_tol=1E-6, abs_tol=1E-6))
## test cholesky and cho_solve together
C = np.array([[18, 22, 54, 42], [22, 70, 86, 62], [54, 86, 174, 134], [42, 62, 134, 106]])
L = np.linalg.cholesky(C)
# L is a lower triangular matrix obtained by performing cholesky of positive-definite linear system
result = scipy.linalg.cho_solve(L, b)
ref_result = np.array([6.5625, 1.1875, -2.9375, 0.4375])
for i in range(4):
print(math.isclose(result[i], ref_result[i], rel_tol=1E-6, abs_tol=1E-6))
|
