google-deepmind / torch-randomkit

Provides and wraps the Randomkit library, copied from Numpy.
BSD 3-Clause "New" or "Revised" License
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Support marginals with 0 variance in multivariate Gaussian #19

Closed jucor closed 11 years ago

jucor commented 11 years ago

Numpy supports it: should we? @shakirm, please, what do you think: useful for GP, or rare enough that we don't ned to make it a priority?

jucor commented 11 years ago

I love Lapack ! v 3.2 solved it. Now all that's left is to wrap this pstrf and benchmark its speed against portf -- see if we can always use pstrf instead of potrf.

jucor commented 11 years ago

@shakirm, look at that techreport from Lapack guys!! This is beautiful....

jucor commented 11 years ago

And voila :) With lazy version, though, until pstrf is wrapped in Torch: use potrf for Cholesky, and if fails, fallback on torch.svd.