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@franckgaga franckgaga commented Jun 12, 2025

Allocation-free methods with LinearAlgebra standard types (and numerically robust since it relies on a cholesky factorization, knowing that covariance matrices are positive definite Hermitian matrices).
There is also a fallback method with other AbstractMatrix with some allocations.

Thanks to https://discourse.julialang.org/t/non-allocating-matrix-inversion/62264/14?u=franckgaga for the idea.

allocation-free with `LinearAlgebra` standard types (and numerically robust since it relies on a cholesky factorization)
there is also a fallback method with other `AbstractMatrix` with some allocations
The vector may containt ±Inf value for the MHE and it is not supported by JuMP. The values are updated before optimization anyway.
@franckgaga franckgaga merged commit 61de78d into main Jun 12, 2025
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Merging since it passes locally.

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Codecov Report

Attention: Patch coverage is 77.14286% with 8 lines in your changes missing coverage. Please review.

Project coverage is 98.74%. Comparing base (20a5ed0) to head (13387b4).
Report is 4 commits behind head on main.

Files with missing lines Patch % Lines
src/general.jl 38.46% 8 Missing ⚠️
Additional details and impacted files
@@            Coverage Diff             @@
##             main     #214      +/-   ##
==========================================
- Coverage   98.92%   98.74%   -0.19%     
==========================================
  Files          26       26              
  Lines        4286     4306      +20     
==========================================
+ Hits         4240     4252      +12     
- Misses         46       54       +8     

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@franckgaga franckgaga deleted the mhe_inv_inplace branch September 16, 2025 22:06
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3 participants