linalg.py 文件源码

def chol_add(L, A):
    N = L.shape[0]
    S12 = spla.solve_triangular(L, A[:N,N:], lower=True)
    S22 = spla.cholesky(A[N:,N:] - S12.T.dot(S12)).T
    L_update = np.zeros(A.shape)
    L_update[:N,:N] = L
    L_update[N:,:N] = S12.T
    L_update[N:,N:] = S22
    return L_update