riecovest.matrix_operations

Functions for matrix operations using jax.

Made to ease the use of jax in algorithms requiring automatic differentiation, by adding some common operations that does not already exist in the library.

Functions

generalized_eigh(A, B)	Computes the generalized eigenvalue decomposition of a pair of positive semidefinite matrices.
generalized_eigvalsh(A, B)	Computes the generalized eigenvalue decomposition of a pair of positive semidefinite matrices.
matrix_sqrt(A)	Computes the square root of a positive definite matrix A.