helpingMethods.py 文件源码

def factor(X, rho):
    """
    computes cholesky factorization of the kernel K = 1/rho*XX^T + I

    Input:
    X design matrix: n_s x n_f (we assume n_s << n_f)
    rho: regularizaer

    Output:
    L  lower triangular matrix
    U  upper triangular matrix
    """
    n_s, n_f = X.shape
    K = 1 / rho * scipy.dot(X, X.T) + scipy.eye(n_s)
    U = linalg.cholesky(K)
    return U