Correct Cholesky factor to have positive diagonal #17
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zsoerenm
reviewed
Nov 6, 2024
src/srkf.jl
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| function correct_cholesky_sign!(R) | ||
| R .= sign.(diag(R)) .* R | ||
| end |
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This still allocates.
I asked for help with this and the Julia community got crazy again ;)
See https://discourse.julialang.org/t/why-does-a-sign-view-a-diagind-a-a-allocate/122332
So my suggestion is:
Suggested change
| function correct_cholesky_sign!(R) | |
| R .= sign.(diag(R)) .* R | |
| end | |
| function correct_cholesky_sign!(R) | |
| for i in axes(R,1) | |
| if R[i,i] < 0 | |
| R[i, :] = -R[i, :] | |
| end | |
| end | |
| return R | |
| end |
src/srkf.jl
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| """ | ||
| correct_cholesky_sign(R) | ||
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| Return a modify the Cholesky factor `R` with positive diagonals. |
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Suggested change
| Return a modify the Cholesky factor `R` with positive diagonals. | |
| The upper triangle R of the QR decomposition doesn't necessarily have positive | |
| elements on the diagonal elements. However, when used in the context of | |
| a Cholesky decomposition the diagonal elements need to be positive. Hence, | |
| the function corrects the sign of the diagonal elements when necessary. |
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A small tweak to fix #16.
Happy to make changes if requested.