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linalg: Addition of LU decomposition #1675

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@Kriyszig Kriyszig commented Apr 13, 2019

Implementation based on http://www.engr.colostate.edu/~thompson/hPage/CourseMat/Tutorials/CompMethods/doolittle.pdf

Edit:

lu() can now take tensor of rank >=2 with last two dimension equal.


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Added LU decomposition for square matrix based on Doolittle Algorithm.
Wrote tests to verify the functionality.
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@Kriyszig Kriyszig changed the title [WIP] linalg: Addition of LU decomposition linalg: Addition of LU decomposition Apr 13, 2019
@Kriyszig Kriyszig changed the title linalg: Addition of LU decomposition [WIP} linalg: Addition of LU decomposition Apr 14, 2019
@Kriyszig Kriyszig changed the title [WIP} linalg: Addition of LU decomposition [WIP] linalg: Addition of LU decomposition Apr 14, 2019
@Kriyszig Kriyszig changed the title [WIP] linalg: Addition of LU decomposition linalg: Addition of LU decomposition Apr 14, 2019
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@Kriyszig Did You take a look at PR#1356? It also includes an LU implementation which includes:

  • Backpropagation
  • luSolve method
  • Row Pivotization (drastically improves numeric stability)

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My bad, didn't see that!

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