Closed RachelXu7 closed 1 year ago
Hi! Since the Hessian is symmetric we can calculate its inverse slightly faster and in a more stable way (while also guaranteeing that the output is symmetric) using cholesky()
+ cholesky_inverse()
(the latter expects as input a Cholesky decomposition). This means the first two lines are just calculating $H^{-1}$ utilizing that $H$ is symmetric.
The Hessian inverse information in your pseudocode is computed by cholesky of H's inverse. In code, you use the cholesky first and then cholesky inverse and then cholesky again. I am not sure the reason of the difference. And is the cholesky_inverse kernel necessary here?Can I just compute the H's inverse and then use cholesky?
Thank you so much.