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Other factorizations: parametrization or new names? #198
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Based on mateuszbaran/CovarianceEstimation.jl#90 we're likely to want something like
PDMat
that supports different factorizations. Two factorizations are currently under discussion:Eigen
SymWoodbury
with aDiagonal
orUniformScaling
"main matrix" (A
in https://en.wikipedia.org/wiki/Woodbury_matrix_identity)Both of these can be efficiently checked for positive (semi) definiteness and would seem to fit here. There seem to be multiple instantiations, though: should the existing
PDMat
be renamedPDCholesky
? Or should we add aF<:Factorization{T}
parameter? Either is workable, I'm opening this largely to ask for guidance about your preferences.CC @mateuszbaran
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