Coverage for cvx/risk/linalg/valid.py: 100%

1# Copyright 2023 Stanford University Convex Optimization Group 

2# 

3# Licensed under the Apache License, Version 2.0 (the "License"); 

4# you may not use this file except in compliance with the License. 

5# You may obtain a copy of the License at 

6# 

7# http://www.apache.org/licenses/LICENSE-2.0 

8# 

9# Unless required by applicable law or agreed to in writing, software 

10# distributed under the License is distributed on an "AS IS" BASIS, 

11# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 

12# See the License for the specific language governing permissions and 

13# limitations under the License. 

14from __future__ import annotations 

15 

16import numpy as np 

17 

18 

19def valid(matrix): 

20 """ 

21 Construct the valid subset of matrix (correlation) matrix matrix 

22 :param matrix: n x n matrix 

23 

24 :return: Tuple of matrix boolean vector indicating if row/column 

25 is valid and the valid subset of the matrix 

26 """ 

27 # make sure matrix is quadratic 

28 if matrix.shape[0] != matrix.shape[1]: 

29 raise AssertionError 

30 

31 v = np.isfinite(np.diag(matrix)) 

32 return v, matrix[:, v][v]