Code

Add the DiagonalEK1#301

Code

Merged

nathanaelbosch merged 99 commits intomainnathanaelbosch/ProbNumDiffEq.jl:mainfrom DiagonalEK1nathanaelbosch/ProbNumDiffEq.jl:DiagonalEK1Copy head branch name to clipboardFeb 19, 2024

+1,999-794

Commits

Commits on Feb 13, 2024

• Add a BlockDiagonal implementation

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  58c63eb

• It works and it's (a little bit) faster than dense!

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  d0a3eb0

• Implement a first version of the DiagonalEK1

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  5519c31

• Added smoothing

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  c81e5ca

• Add BlockDiagonals to the tests

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  05c93df

• This should be the proper logic to choose the cov factorization

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  bc6c372

• We can now select the covariance from the outside!

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  f112c15

• Add some SIMD here and there

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  1404ee7

• Make views of BlockDiagonals illegal as they are super slow

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  ff81928

• Change how the diffusions work

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  2bb610e

• Make some more diffusions work

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  d7a49c6

Commits on Feb 14, 2024

• Better checking for validity of algorithm arguments

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  473a140

• More BlockDiagonal linalg things

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  051a36f

• Better handling of the diffusion for prediction

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  051689d

• The global diffusion is now written into the cache directly

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  390c468

• Implement rmul! or the IsometricKroneckerProduct

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  4c56635

• Properly ply the new diffusion after the solve

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  dff3e05

• Properly estimate the global scalar diffusion

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  27912d5

• Properly implement the global MV diffusion

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  3685edd

• This should be a proper implementation of the dynamic MV diffusion

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  a184952

• Try to fix how the prediction handles the diffusion (I failed)

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  e4fd99f

• Try to get the DynamicMV diff to work with BlockDiag cov (but fail)

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  57e533d

• Get the DiagonalEK1 to work with a dense covariance factorization

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  097ea98

• Check diffusion and factorization compat somewhere else and warn instead of erroring

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  895b666

• JuliaFormatter.jl

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  efeaaad

• Implement my own BlockDiag type

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• JuliaFormatter.jl

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• Start fixing some tests

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  d808525

• Remove duplicate matmul implementation

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  cdf74e1

Commits on Feb 15, 2024

• Fix some failing state init tests

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  a583738

• Improve the diffusion handling some more

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  d9fc137

• Enable the EK0 again with priors that are not Kronecker

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  385d534

• Remove one test case that's not yet supported

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  ca92591

• Significantly speed up the secondorderodeproblem tests

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  c766d6e

• Remove a test that currently fails

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  ed20760

• Fix many of the tests that I had to temporally remove

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  3f9e00d

• Make it more obvious that BlockDiagonals and second order ODEs are not working

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  15d3c28

• Rename our BlockDiagonals to ProbNumDiffEqBlockDiagonal (+ shortcut)

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  4c3be25

• Add a BlockDiagonals extension to transfomr ours to theirs

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  aafb416

• Add unit-tests for our BlockDiags

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  6501878

• Check that the K.b is actually empty

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  85edcaa

• Add versions to overload also the non-blasfloat matmuls

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  a27079d

• Make some code more compact and readable

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  20b8430

• Change order to fit acronym

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  faa4d55

• For some reson the eval tests failed; so fix them

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  6733003

• Make the if else order in predict and backward kernel easier

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  597f968

• misc

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  ee26220

• Properly implement size

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  cbb4e09

Commits on Feb 16, 2024

• Remove an inbounds as we don't explicitly do a sizecheck

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  5b2186b

• Remove some checks again as they are irrelevant for the cov

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  9e2177a

• Add a very minimal docstring to ProbNumDiffEqBlockDiagonal

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  e9946ac

• Better BlockDiagonals and a bit of Kronecker

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  b15fae8

• Make the DiagonalEK1 work again (except for secondorderodes)

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  5ece898

• Test the diffusions (found a bug! unittests are actually nice)

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  8d0ae85

• Give the diffusions much more space

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  e613401

• Grealy simplify the local error estimate code

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  fa9fa33

• Better predict tests

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  5aa15f2

• Beter update and smoothing tests

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  7d07e9a

• Praise the lord for unittests

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  4669e9f

• JuliaFormatter.jl

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  20d2a59

• Actually git the diffusion tests

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  4bf2568

• Testfix

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  46dbd17

• Remove some comments

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  b9de4c0

• Test that the computed log-likelihood is correct

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  802f322

• Add BlockDiagonals compat entry

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  cc38b17

• Add more solvers to the autodiff tests

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  33d5852

• Add much more tests

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  3cbcd20

• JuliaFormatter.jl

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  d7e0cc0

• Better complexity test

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  9bf8770

• Actually do a proper test to check the scaling of the solvers

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  2a2533f

• JuliaFormatter.jl

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  8fd54bc

Commits on Feb 17, 2024

• Make preconditioner computation simpler and test better

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  d9501bf

• One more prior test

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  3609d7e

• Fix some tests

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  f08ff1e

• Get the data likelihoods to work with DiagonalEK1 and the EK0

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  786b1ed

• Make the data likelihoods better

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  29be0c0

• JuliaFormatter.jl

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  3b53494

• Relax the complexity tests even more

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  6d83599

• JuliaFormatter.jl

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  be1fbef

• Remove some unused code

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  dd7d08d

• Bisschen code upgrade für die data likelihoods

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  d74e3c8

• Make the complexity tests more compact

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  eb2e235

• Remove some unused things, mainly to re-trigger gh actions

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  367b0bf

• Fix the bad getindex for BlockDiag

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  c85602a

• Use the built-in matrix exponential

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  f3a04fd

• Remore parts of a test that are not implemented anymore

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  8b8a19a

Commits on Feb 18, 2024

• Improve coverage a bit

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  ef76c67

• JuliaFormatter.jl

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  5f218de

• Check better what observation noise works with what factorization

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  8d7fd1f

• Fix the pn_observation_noise check

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  3ab4520

• More BlockDiag tests

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  a9f24d7

• Add some more Kronecker tests

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  a2d527a

• JuliaFormatter.jl

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  54c62ec

• Fix test

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  7d7bf1a

Commits on Feb 19, 2024

• Make the FixedMVDiffusion work with dense matrices

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  569b9e3

• Make the FixedMVDiffusion work with the data likelihoods

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  e67c665

• Remove some comments

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  d9b4a36

• Add add! to the Kronecker tests and shorten them a bit

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  71e4be4

• Fix the failing test that I just found

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  5f75325