Open oxinabox opened 3 years ago
Follow up to https://github.com/invenia/PDMatsExtras.jl/pull/2
we should probably store C_S = cholesky(W.S)
C_S = cholesky(W.S)
C_B for
C_B
B = C_S.U' \ (W.A * cholesky(W.D).U') C_B = cholesky(Symmetric(I + B'B))
as well as the original matrix. As these tend to be needed for many operations, and don't need to be recomputed as long as the matrix isn't changed.
One question is making sure this works OK with AD.
Follow up to https://github.com/invenia/PDMatsExtras.jl/pull/2
we should probably store
C_S = cholesky(W.S)C_Bforas well as the original matrix. As these tend to be needed for many operations, and don't need to be recomputed as long as the matrix isn't changed.
One question is making sure this works OK with AD.