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Support marginals with 0 variance in multivariate Gaussian - #19

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jucor merged 6 commits into
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Nov 5, 2013
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jucor merged 6 commits into
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@jucor jucor commented Nov 5, 2013

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Numpy supports it: should we? @shakirm, please, what do you think: useful for GP, or rare enough that we don't ned to make it a priority?

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jucor commented Nov 5, 2013

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I love Lapack ! v 3.2 solved it. Now all that's left is to wrap this pstrf and benchmark its speed against portf -- see if we can always use pstrf instead of potrf.

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jucor commented Nov 5, 2013

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@shakirm, look at that techreport from Lapack guys!! This is beautiful....

jucor added 6 commits November 5, 2013 19:44
A drop of water in an ocean of allocations...
It will actually be needed until I fix
the problem with torch.manualSeed() not resetting
the whole state of randomkit, especially the
gaussian part.
jucor pushed a commit that referenced this pull request Nov 5, 2013
Support marginals with 0 variance in multivariate Gaussian
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jucor merged commit 2021733 into master Nov 5, 2013
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jucor commented Nov 5, 2013

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And voila :) With lazy version, though, until pstrf is wrapped in Torch: use potrf for Cholesky, and if fails, fallback on torch.svd.

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jucor deleted the mvn branch November 5, 2013 19:49
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