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author | Charles Harris <charlesr.harris@gmail.com> | 2014-03-13 15:50:03 -0600 |
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committer | Charles Harris <charlesr.harris@gmail.com> | 2014-03-22 17:34:41 -0600 |
commit | d36f81372229aac3455dcb69b784e1363d290239 (patch) | |
tree | 102854f167cc3b7d805c02c054e14f41ef96723c /numpy/lib/tests/test_utils.py | |
parent | 2b984294e98a7cf1e60455cf9022ca7b7e6a7a84 (diff) | |
download | numpy-d36f81372229aac3455dcb69b784e1363d290239.tar.gz |
ENH, MAINT: Check that covariance is positive-semidefinite.
numpy.random.multivariate_normal uses SVD to obtain the covariance
square root, but the result will be incorrect if the covariance is not
positive-semidefinite and no warning will be given. However, a check can
be made even while using the SVD by checking if the rows of u.T and v
have the same sign, where u and v are given by u, d, v = svd(a).
A deprecation warning is also fixed. When the default size was used an
empty list was passed to multiply.reduce, which resulted in a default
float 1. for a shape index. That is no longer legal. The problem is
fixed by using an array reshape, which also avoids potential overflow in
the original computation.
Closes #4489.
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