admm.py 文件源码

def factor(X, rho, mu=0.0):
    n, d = X.shape

    if n >= d:
        L = la.cholesky((2. / n) * np.dot(X.T, X) + (2. * mu + rho) * np.eye(d), lower=True)
    else:
        L = la.cholesky(np.eye(n) + (2. / (rho * n)) * np.dot(X, X.T), lower=True)

    return L, L.T  # L, U