Coverage for src / cvx / markowitz / linalg / random.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"""Random linear-algebra utilities.""" 

15 

16import numpy as np 

17 

18from .types import Matrix 

19 

20 

21def rand_cov(n: int) -> Matrix: 

22 """Return a random positive semidefinite covariance matrix of size n x n.""" 

23 a = np.random.randn(n, n) 

24 return np.array(np.transpose(a) @ (a))