[numpy] adds eigvalsh_ignore_nans

numpy.py

@@ -133,3 +133,12 @@ def mean_excl(arr, value=0, axis=0):
 
 def std_excl(arr, value=0, axis=0):
     return np.nanstd(value_to_nan(arr, value=value), axis=axis)
+
+
+def eigvalsh_ignore_nans(matrix):
+    ret = np.zeros(matrix.shape[:-2] + matrix.shape[-1:])
+    nans_in_matrix = np.any(np.isnan(matrix), axis=(-2, -1))
+    good = ~nans_in_matrix
+    eig = np.linalg.eigvalsh(matrix[good])
+    ret[good] = eig
+    return ret