PSD Solver Based on Cholesky Decomposition

import linalg

def psdsolve(mat:n=>n=>Float, b:n=>Float) -> n=>Float given (n|Ix) =
  l = chol mat
  b' = forward_substitute l b
  u = transpose_lower_to_upper l
  backward_substitute u b'

Test

N = Fin 4

[k1, k2] = split_key $ new_key 0

psd : N=>N=>Float =
  a = for i:N j:N. randn $ ixkey k1 (i, j)
  x = a ** transpose a
  x + eye

def padLowerTriMat(mat:LowerTriMat n v) -> n=>n=>v given (n|Ix, v|Add) =
  for i j.
    if (ordinal j)<=(ordinal i)
      then mat[i,unsafe_project j]
      else zero

l = chol psd

l_full = padLowerTriMat l

:p l_full

[[1.621016, 0., 0., 0.], [0.7793013, 2.965358, 0., 0.], [-0.6449394, 1.054188, 2.194109, 0.], [0.1620137, -1.009056, -1.49802, 1.355752]]

psdReconstructed = l_full ** transpose l_full

:p sum for pair.
  (i, j) = pair
  sq (psd[i,j] - psdReconstructed[i,j])

3.979039e-13

vec : N=>Float = arb k2

vec ~~ (psd **. psdsolve psd vec)

True