Coverage for src / cvx / markowitz / linalg / valid.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"""Extract valid submatrix of a matrix.""" 

15 

16from __future__ import annotations 

17 

18import numpy as np 

19 

20from .types import Matrix 

21 

22 

23def valid(matrix: Matrix) -> tuple[Matrix, Matrix]: 

24 """Construct the valid subset of a (correlation) matrix. 

25 

26 Args: 

27 matrix: n x n matrix. 

28 

29 Returns: 

30 A tuple of (mask, submatrix) where mask is a boolean vector indicating 

31 valid rows/columns and submatrix is the valid subset of the input. 

32 """ 

33 # make sure matrix is quadratic 

34 if matrix.shape[0] != matrix.shape[1]: 

35 raise ValueError("Matrix must be quadratic") 

36 

37 _valid = np.isfinite(np.diag(matrix)) 

38 return _valid, matrix[:, _valid][_valid]