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.

Installation

] add PSDMatrices