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normal-computing / thermox

Exact OU processes with JAX
Apache License 2.0
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Docs don't match code #16

Closed SamDuffield closed 1 month ago

SamDuffield commented 1 month ago

https://github.com/normal-computing/thermox/blob/23d395cbd2106d6591b155ead8ff43f81a802bfd/thermox/utils.py#L95C6-L95C36

Should it be A_y = D^0.5 @ A @ D^-0.5 or A_y = D-^0.5 @ A @ D^0.5

SamDuffield commented 1 month ago

Also A_y might not be positive definite anymore after this transformation, we need to check this

SamDuffield commented 1 month ago

Fixed in #19