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Analytically compute the square root of the IWP transition covariance #264

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merged 5 commits into from
Nov 2, 2023

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nathanaelbosch
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@nathanaelbosch nathanaelbosch commented Oct 30, 2023

Solves #257

But instead of actually using IntegratedWienerProcesses.jl I copied and slightly changed the code to compute the left square root factor, as well as to automatically use BigInt to compute factorials if the desired smoothness gets too large.

Left to do:

  • can we simplify to have less calls to factorial?
  • filling by row or column can have quite a performance cost; are we doing it in the right order right now?
  • add a docstring

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nathanaelbosch commented Oct 31, 2023

Held up by Fenrir.jl's patch release with increased ProbNumDiffEq.jl compat: JuliaRegistries/General#94415

@nathanaelbosch nathanaelbosch linked an issue Oct 31, 2023 that may be closed by this pull request
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codecov bot commented Oct 31, 2023

Codecov Report

Merging #264 (011165b) into main (9e8c8e0) will decrease coverage by 0.19%.
The diff coverage is 72.72%.

@@            Coverage Diff             @@
##             main     #264      +/-   ##
==========================================
- Coverage   95.67%   95.49%   -0.19%     
==========================================
  Files          35       35              
  Lines        1435     1444       +9     
==========================================
+ Hits         1373     1379       +6     
- Misses         62       65       +3     
Files Coverage Δ
src/priors/iwp.jl 95.77% <72.72%> (-4.23%) ⬇️

📣 We’re building smart automated test selection to slash your CI/CD build times. Learn more

@nathanaelbosch nathanaelbosch changed the title Analytically compute the square root of the transition covariance Analytically compute the square root of the IWP transition covariance Nov 1, 2023
@nathanaelbosch nathanaelbosch merged commit a0814e5 into main Nov 2, 2023
6 of 7 checks passed
@nathanaelbosch nathanaelbosch deleted the analyticcholcov branch November 3, 2023 08:35
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Use IntegratedWienerProcesses.jl?
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