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Matrix Factorizations for LinearOperators #569

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marvinpfoertner opened this issue Nov 16, 2021 · 0 comments
Open
1 of 6 tasks

Matrix Factorizations for LinearOperators #569

marvinpfoertner opened this issue Nov 16, 2021 · 0 comments
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feature request Requests for features to be implemented improvement Improvements of existing functionality linops Issues related to linear operators

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@marvinpfoertner
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marvinpfoertner commented Nov 16, 2021

Is your feature request related to a problem? Please describe.
Currently, the implementation of Normal contains a lot of logic concerning the efficient computation of Cholesky factorizations of LinearOperators with Kronecker and SymmetricKronecker structure.
This adds unnecessary complexity and is out of place in the implementation of a RandomVariable.
We should add a cholesky method to the LinearOperator, which then takes care of the specific factorizations in its subclasses.

Give an example use case.

>>> A = pn.linops.Kronecker(A=..., B=...)
>>> L = A.cholesky(lower=True)
>>> type(L)
pn.linops.Kronecker
>>> x = A.inv() @ b  # uses Cholesky internally!

Describe the solution you'd like.

Additional context
Some of the properties from #571 are needed to implement these factorizations.

@marvinpfoertner marvinpfoertner added feature request Requests for features to be implemented improvement Improvements of existing functionality linops Issues related to linear operators labels Nov 16, 2021
@marvinpfoertner marvinpfoertner self-assigned this Nov 16, 2021
@marvinpfoertner marvinpfoertner added this to To do in ProbNum Development via automation Nov 16, 2021
@marvinpfoertner marvinpfoertner removed this from To do in ProbNum Development Nov 17, 2021
@marvinpfoertner marvinpfoertner changed the title LinearOperator.cholesky Matrix Factorizations for LinearOperators Nov 18, 2021
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Labels
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