Fix more tests

nathanaelbosch · Feb 9, 2024 · d1bc786 · d1bc786
1 parent 4060652
commit d1bc786
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Showing 4 changed files with 9 additions and 10 deletions.
diff --git a/src/ProbNumDiffEq.jl b/src/ProbNumDiffEq.jl
@@ -48,7 +48,7 @@ cov2psdmatrix(cov::UniformScaling; d) = PSDMatrix(sqrt(cov.λ) * Eye(d))
 cov2psdmatrix(cov::Diagonal; d) =
     (@assert size(cov, 1) == size(cov, 2) == d; PSDMatrix(sqrt.(cov)))
 cov2psdmatrix(cov::AbstractMatrix; d) =
-    (@assert size(cov, 1) == size(cov, 2) == d; PSDMatrix(cholesky(cov).U))
+    (@assert size(cov, 1) == size(cov, 2) == d; PSDMatrix(Matrix(cholesky(cov).U)))
 cov2psdmatrix(cov::PSDMatrix; d) = (@assert size(cov, 1) == size(cov, 2) == d; cov)
 
 include("fast_linalg.jl")

diff --git a/src/algorithms.jl b/src/algorithms.jl
@@ -12,11 +12,11 @@ function ekargcheck(alg; diffusionmodel, pn_observation_noise, kwargs...)
             ),
         )
     end
-    if (diffusionmodel isa FixedMVDiffusion || diffusionmodel isa DynamicMVDiffusion) &&
-       alg == EK1
+    if ((diffusionmodel isa FixedMVDiffusion || diffusionmodel isa DynamicMVDiffusion) &&
+        diffusionmodel.calibrate) && alg == EK1
         throw(
             ArgumentError(
-                "The `EK1` algorithm does not support multivariate diffusion models. Use `EK0` instead, or use a scalar diffusion model.",
+                "The `EK1` algorithm does not support automatic calibration of multivariate diffusion models. Either use the `EK0` instead, or use a scalar diffusion model, or set `calibrate=false` and calibrate manually by optimizing `sol.pnstats.log_likelihood`.",
             ),
         )
     end

diff --git a/src/data_likelihoods/fenrir.jl b/src/data_likelihoods/fenrir.jl
@@ -83,7 +83,7 @@ function fit_pnsolution_to_data!(
         C_d=view(C_d, 1:o),
         K1=view(K1, :, 1:o),
         K2=view(C_Dxd, :, 1:o),
-        m_tmp=Gaussian(view(m_tmp.μ, 1:o), PSDMatrix(view(m_tmp.Σ.R, :, 1:o))),
+        m_tmp=Gaussian(view(m_tmp.μ, 1:o), view(m_tmp.Σ, 1:o, 1:o)),
     )
 
     x_posterior = copy(sol.x_filt) # the object to be filled
@@ -136,10 +136,10 @@ function measure_and_update!(x, u, H, R::PSDMatrix, cache)
     z, S = cache.m_tmp
     _matmul!(z, H, x.μ)
     z .-= u
-    fast_X_A_Xt!(S, x.Σ, H)
-    # _S = PSDMatrix(S.R'S.R + R.R'R.R)
-    _S = PSDMatrix(triangularize!([S.R; R.R], cachemat=cache.C_DxD))
-    msmnt = Gaussian(z, _S)
+    _matmul!(cache.C_Dxd, x.Σ.R, H')
+    _matmul!(S, cache.C_Dxd', cache.C_Dxd)
+    S .+= _matmul!(cache.C_dxd, R.R', R.R)
+    msmnt = Gaussian(z, S)
 
     return update!(x, copy!(cache.x_tmp, x), msmnt, H; R=R, cache)
 end
diff --git a/src/filtering/update.jl b/src/filtering/update.jl
@@ -130,7 +130,6 @@ function update!(
         if issuccess(chol)
             copy!(x_out.Σ.R, chol.U)
         else
-            @warn "Cholesky factorization failed. Using triangularize! instead."
             x_out.Σ.R .= triangularize!([x_out.Σ.R; K1_cache']; cachemat=M_cache)
         end
     end