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Design question/discussion: PDMat without constructing full matrix #140
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PDMat without constructing full matrix
Design question/discussion: PDMat without constructing full matrix
Oct 28, 2021
What are the PDMats.jl maintainers' thoughts on this? |
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As pointed out in the README,
PDMat
always stores both Cholesky factorisation and full matrix. For many operations that are commonly used downstream, such as logdet and the quadratic forms, the full matrix is never used. So when thePDMat
is constructed from an already known Cholesky factor (e.g. because we optimize for a variationally optimal covariance matrix), this is an unnecessary computation (see JuliaGaussianProcesses/ParameterHandling.jl#41 (comment)).What are the design reasons for the current setup? What would it take to change this? Could we, for example, have some lazy way of computing
mat
(orchol
) only when it is actually required [and then caching it]?The text was updated successfully, but these errors were encountered: