Module linalg 

Pure-Rust linear algebra helpers (SVD, eigendecomposition, whitener).

Uses faer under the hood and converts to/from ndarray.

Functions

compute_whitener

Compute a whitening matrix from a noise covariance.

eigh_sorted

Symmetric eigendecomposition of a real symmetric matrix.

faer_to_ndarray

Convert faer::Mat<f64> → ndarray::Array2<f64>.

inv_sqrtm_sym

Inverse square root of a symmetric positive definite matrix.

ndarray_to_faer

Convert ndarray::Array2<f64> → faer::Mat<f64>.

sqrtm_sym

Matrix square root of a symmetric positive (semi-)definite matrix.

svd_thin

Thin SVD: A = U @ diag(s) @ V^T.