pymbend

Description

mbend is an "R package for bending non-positive-definite matrices to positive-definite". This is a simple port of mbend to Python, with the goal of improving computation time.

Some naive timings are below:

Matrix size	mbend time [s]	pymbend time [s]
100	0.89	0.85
200	13.8	4.4
500	1370.6	36.7

These were made on a 2021 Intel MacBook Pro.

In addition, it adds the ability to bend a matrix ($A$) to satisfy a generalized Rayleigh quotient inequality: $$0 \leq \frac{\beta^\intercal A \beta}{\beta^\intercal B \beta} \leq 1$$

Installation

pip install git+https://github.com/zietzm/pymbend

License

pymbend is distributed under the terms of the MIT license.