rustyqlib/core/linalg/
mod.rs

1//! Linear algebra utilities: matrix decompositions and correlation
2//! handling.
3//!
4//! [`decomp`] holds the general-purpose factorizations (Cholesky, QR,
5//! SVD, symmetric eigen). On top of them sit the correlation tools:
6//! empirical correlation matrices (estimated pairwise, stressed by hand,
7//! or copied from a term sheet) frequently fail positive
8//! semi-definiteness; [`nearest_correlation`](nearest_correlation::nearest_correlation)
9//! repairs them with the alternating-projections algorithm of Higham
10//! (2002), and [`cholesky`](cholesky::cholesky) factorizes the result for
11//! correlated simulation.
12
13pub mod cholesky;
14pub mod decomp;
15pub mod nearest_correlation;
16
17pub use cholesky::cholesky;
18pub use decomp::{
19    cholesky_factor, cholesky_solve, least_squares, pseudo_solve, qr, svd, symmetric_eigen,
20};
21pub use nearest_correlation::nearest_correlation;
rustyqlib/core/linalg/mod.rs

rustyqlib/core/linalg/
mod.rs
