athena.subspaces.Subspaces._build_decompose_cov_matrix¶
-
Subspaces._build_decompose_cov_matrix(gradients=None, weights=None, metric=None)[source]¶ Build and decompose the covariance matrix of the gradients.
- Parameters
gradients (numpy.ndarray) – n_samples-by-n_params matrix containing the gradient samples oriented as rows.
weights (numpy.ndarray) – n_samples-by-1 weight vector, corresponds to numerical quadrature rule used to estimate matrix whose eigenspaces define the active subspace.
metric (numpy.ndarray) – metric matrix output_dim-by-output-dim for vectorial active subspaces.
- Returns
the sorted eigenvalues, and the corresponding eigenvectors.
- Return type