public static NArray CholeskyDecomposition(NArray a)
{
var result = a.Clone(MatrixRegion.LowerTriangle);
ExecutionContext.Executor.CholeskyDecomposition(result);
return(result);
}
public static IEnumerable <double> Percentiles(NArray a, IEnumerable <double> percentiles)
{
var clone = a.Clone();
SortInPlace(clone);
// the ith element is percentile p = 100 * (i + 0.5) / n
// i = n * p / 100 - 0.5
var fractionalIndices = percentiles.Select(p => clone.Length * p / 100.0 - 0.5);
foreach (var fractionalIndex in fractionalIndices)
{
var lower = (int)fractionalIndex;
var weightUpper = fractionalIndex - lower;
yield return(clone.GetValue(lower) * (1 - weightUpper) + weightUpper * clone.GetValue(lower + 1));
}
}