PSDMatrices.jl

A Julia package for positive semi-definite matrices.

Positive semi-definite matrices are widely used to describe covariance matrices in probabilistic models. For strictly positive definite matrices, PDMats.jl provides a powerful Julia interface, but in many algorithms and applications, the covariances are not necessarily of full rank. /PSDMatrices.jl/ aims to fill this gap by providing a datatype for positive semi-definite matrices.

Another major difference between /PDMats.jl/ and /PSDMatrices.jl/ is that /PSDMatrices.jl/ never assembles the full matrix $M$, but only acts on the square root matrices $M = R^*R$.

Installation

] add PSDMatrices