https://github.com/zietzm/pymbend

Bending non-positive-definite matrices to positive-definite
https://github.com/zietzm/pymbend

Last synced: about 2 months ago
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Bending non-positive-definite matrices to positive-definite

• Host: GitHub
• URL: https://github.com/zietzm/pymbend
• Owner: zietzm
• License: mit
• Created: 2024-01-11T16:37:03.000Z (almost 1 year ago)
• Default Branch: main
• Last Pushed: 2024-04-08T15:39:58.000Z (9 months ago)
• Last Synced: 2024-10-10T01:50:15.961Z (3 months ago)
• Language: Python
• Homepage:
• Size: 13.7 KB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE.txt

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README

        
# pymbend

## Description

[`mbend`](https://github.com/nilforooshan/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

```console

pip install git+https://github.com/zietzm/pymbend

```

## License

`pymbend` is distributed under the terms of the [MIT](https://spdx.org/licenses/MIT.html) license.