Coverage for src / cvx / markowitz / linalg / cholesky.py: 100%

1# Copyright 2023 Stanford University Convex Optimization Group 

2# 

3# Licensed under the Apache License, Version 2.0 (the "License"); 

4# you may not use this file except in compliance with the License. 

5# You may obtain a copy of the License at 

6# 

7# http://www.apache.org/licenses/LICENSE-2.0 

8# 

9# Unless required by applicable law or agreed to in writing, software 

10# distributed under the License is distributed on an "AS IS" BASIS, 

11# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 

12# See the License for the specific language governing permissions and 

13# limitations under the License. 

14"""Cholesky decomposition with numpy.""" 

15 

16from __future__ import annotations 

17 

18import numpy as np 

19 

20from .types import Matrix 

21 

22 

23def cholesky(cov: Matrix) -> Matrix: 

24 """Compute the cholesky decomposition of a covariance matrix.""" 

25 # upper triangular part of the cholesky decomposition 

26 # np.linalg.cholesky(cov) is the lower triangular part 

27 return np.transpose(np.linalg.cholesky(cov))