Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Stable psd solve #335

Merged
merged 2 commits into from
Aug 9, 2023
Merged

Stable psd solve #335

merged 2 commits into from
Aug 9, 2023

Conversation

calebweinreb
Copy link
Contributor

More stable version of psd_solve that addresses #334.

  • The input matrix is symmetrized
  • Only the diagonal is boosted
  • Uses cho_factor / cho_solve instead of linalg.solve

@slinderman
Copy link
Collaborator

Thanks! I believe @gileshd had originally implemented something similar, but we hit numerical stability issues in our tests. Yours may differ in that it explicitly symmetrizes as well as boosting the diagonal. I'll go ahead and merge!

@slinderman slinderman merged commit cadec55 into probml:main Aug 9, 2023
2 checks passed
@calebweinreb calebweinreb deleted the stable_psd_solve branch September 4, 2023 20:57
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

Successfully merging this pull request may close these issues.

2 participants