add rank-1 update of Cholesky decomposition #14
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YuhanLiin
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Apr 13, 2024
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| pub trait CholeskyUpdate<F> { | ||
| fn cholesky_update_inplace(&mut self, update_vector: &Array1<F>); | ||
| } |
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Can you add documentation to this trait?
YuhanLiin
reviewed
Apr 13, 2024
| let mut w=update_vector.to_owned(); | ||
| let mut b=F::from(1.0).unwrap(); | ||
| for j in 0..n{ | ||
| let ljj=self[(j,j)]; |
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For indexing, use the traits in index.rs, which are faster in release mode.
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Can you merge |
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I've implemented the rank-one update of Cholesky decomposition following the paper (Krause & Igel, 2015).
references: Krause, O., & Igel, C. (2015, January). A more efficient rank-one covariance matrix update for evolution strategies. In Proceedings of the 2015 ACM Conference on Foundations of Genetic Algorithms XIII (pp. 129-136).