Introduce strategy for stable Cholesky factorizations

biaslab / ForneyLab.jl

Julia package for automatically generating Bayesian inference algorithms through message passing on Forney-style factor graphs.

MIT License

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Introduce strategy for stable Cholesky factorizations #134

Closed ThijsvdLaar closed 3 years ago

ThijsvdLaar commented 3 years ago

This PR uses the PositiveFactorizations package to enforce positive definiteness of covariance/precision matrices for cholinv and sampling. The default strategy can optionally be overwritten. This resolves #86