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Introduce strategy for stable Cholesky factorizations #134

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merged 1 commit into from
Nov 4, 2020

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This PR uses the PositiveFactorizations package to enforce positive definiteness of covariance/precision matrices for cholinv and sampling. The default strategy can optionally be overwritten. This resolves #86

@ThijsvdLaar ThijsvdLaar merged commit 9217a2a into biaslab:master Nov 4, 2020
@ThijsvdLaar ThijsvdLaar deleted the pd_inverse branch November 4, 2020 16:04
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Improve stability when inverting positive definite matrices
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