Function inverse_variance_weights

crates/openquant/src/hcaa.rs:353–367

(cov: &DMatrix<f64>, indices: &[usize])

}

fn inverse_variance_weights(cov: &DMatrix<f64>, indices: &[usize]) -> Result<Vec<f64>, HcaaError> {
    let mut inv_diag: Vec<f64> = Vec::with_capacity(indices.len());
    for &i in indices {
        let v = cov[(i, i)];
        if v <= 0.0 {
            return Err(HcaaError::NoData);
        }
        inv_diag.push(1.0 / v);
    }
    let sum: f64 = inv_diag.iter().sum();
    if sum <= 0.0 {
        return Err(HcaaError::NoData);
    }
    Ok(inv_diag.into_iter().map(|x| x / sum).collect())
}

fn cluster_variance(cov: &DMatrix<f64>, indices: &[usize]) -> Result<f64, HcaaError> {
    let w = inverse_variance_weights(cov, indices)?;