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Catch positive definite error #24

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merged 2 commits into from Aug 2, 2022
Merged

Catch positive definite error #24

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69593cb
catch linalg error when cov not semidefinite positive (numerical issues)
OriolAbril Aug 2, 2022
3d7a512
fix checks
OriolAbril Aug 2, 2022
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8 changes: 7 additions & 1 deletion src/xarray_einstats/stats.py
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Expand Up @@ -5,6 +5,7 @@

import numpy as np
import xarray as xr
from numpy.linalg import LinAlgError
from scipy import stats

from .linalg import cholesky, eigh
Expand Down Expand Up @@ -363,7 +364,12 @@ def rvs(self, mean=None, cov=None, dims=None, *, size=1, rv_dims=None, random_st
mean, cov, dims = self._process_inputs(mean, cov, dims)
dim1, dim2 = dims

cov_chol = cholesky(cov, dims=dims)
try:
cov_chol = cholesky(cov, dims=dims)
except LinAlgError:
k = len(cov[dim1])
eye = xr.DataArray(np.eye(k), dims=list(dims))
cov_chol = cholesky(cov + 1e-10 * eye, dims=dims)
std_norm = XrContinuousRV(stats.norm, xr.zeros_like(mean.rename({dim1: dim2})), 1)
samples = std_norm.rvs(size=size, dims=rv_dims, random_state=random_state)
return mean + xr.dot(cov_chol, samples, dims=dim2)
Expand Down