regularize_fim_for_cholesky

(function from pyomo.contrib.doe.utils)

pyomo.contrib.doe.utils.regularize_fim_for_cholesky(FIM)

Add the smallest diagonal shift needed for a stable Cholesky factorization.

Parameters:

FIM (ndarray) – Fisher information matrix to regularize before Cholesky factorization.

Returns:

Pair (fim_pd, jitter) where fim_pd is the regularized matrix and jitter is the nonnegative diagonal shift used to make the smallest symmetric eigenvalue at least _SMALL_TOLERANCE_DEFINITENESS.

Return type:

tuple