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Update to new EKP (remove local posdef_correct) & typo fix #249

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merged 1 commit into from
Nov 3, 2023
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Update to new EKP (remove local posdef_correct) & typo fix #249

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2 changes: 1 addition & 1 deletion src/ScalarRandomFeature.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -394,7 +394,7 @@ function build_models!(
accelerator = optimizer_options["accelerator"]

initial_params = construct_initial_ensemble(rng, prior, n_ensemble)
min_complexity = log(regularization.λ)
min_complexity = n_features_opt * log(regularization.λ)
min_complexity = sqrt(abs(min_complexity))
data = vcat(get_outputs(io_pairs_opt)[(n_train + 1):end], 0.0, min_complexity)
ekiobj = EKP.EnsembleKalmanProcess(
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28 changes: 0 additions & 28 deletions src/Utilities.jl
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Expand Up @@ -14,7 +14,6 @@ export get_training_points
export get_obs_sample
export orig2zscore
export zscore2orig
export posdef_correct
"""
$(DocStringExtensions.TYPEDSIGNATURES)

Expand Down Expand Up @@ -120,31 +119,4 @@ function zscore2orig(Z::AbstractMatrix{FT}, mean::AbstractVector{FT}, std::Abstr
return X
end


"""
$(DocStringExtensions.TYPEDSIGNATURES)

Makes square matrix `mat` positive definite, by symmetrizing and bounding the minimum eigenvalue below by `tol`
"""
function posdef_correct(mat::AbstractMatrix; tol::Real = 1e8 * eps())
if !issymmetric(mat)
out = 0.5 * (mat + permutedims(mat, (2, 1))) #symmetrize
if isposdef(out)
# very often, small numerical errors cause asymmetry, so cheaper to add this branch
return out
end
else
out = mat
end

nugget = abs(minimum(eigvals(out)))
for i in 1:size(out, 1)
out[i, i] += nugget + tol #add to diag
end
return out
end




end # module
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