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kasperjo committed Mar 28, 2024
1 parent 1a78e22 commit 3e6de0a
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1 change: 0 additions & 1 deletion cvx/covariance/regularization.py
Original file line number Diff line number Diff line change
Expand Up @@ -86,7 +86,6 @@ def _e_step(Sigma, F, d):

def _m_step(Cxx, Cxs, Css):
F = Cxs @ np.linalg.inv(Css)
# d = np.diag(Cxx - 2 * Cxs @ F.T + F @ Css @ F.T)
d = np.diag(Cxx) - 2 * np.sum(Cxs * F, axis=1) + np.sum(F * (F @ Css), axis=1)
return LowRankDiag(F=F, d=pd.Series(d, index=F.index))

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