Handle rank more carefully in sparse GP solves #332
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Previously we assumed that every solve would be full-rank, which could lead to invalid / undefined values being used as part of a linear solve with the `R` factor of a QR decomposition. This commit - switches to the Eigen-recommended way of extracting a valid `R` factor from a QR decomposition - adds assertions checking that the sparse GP problem was full-rank - adds an assertion that an `R` factor is of appropriate rank when using it to compute covariances
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
Previously we assumed that every solve would be full-rank, which could
lead to invalid / undefined values being used as part of a linear
solve with the
Rfactor of a QR decomposition. This commitswitches to the Eigen-recommended way of extracting a valid
Rfactor from a QR decomposition
adds assertions checking that the sparse GP problem was full-rank
adds an assertion that an
Rfactor is of appropriate rank whenusing it to compute covariances