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added: trunc_cov function for MHE (to optimize perf. of dot in objective function)
#276
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The function will truncate the inverted covariance matrices only when Nk<He. There is also two methods, one for `AbstractMatrix` and one for `Diagonal`. It indices some allocations when Nk<He but at least `dot` in the objective function will be always computer on `Hermitian` or `Diagonal`.
Codecov Report✅ All modified and coverable lines are covered by tests. Additional details and impacted files@@ Coverage Diff @@
## main #276 +/- ##
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Coverage 98.48% 98.49%
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Files 28 28
Lines 4764 4776 +12
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+ Hits 4692 4704 +12
Misses 72 72 ☔ View full report in Codecov by Sentry. 🚀 New features to boost your workflow:
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Benchmark Results (Julia v1)Time benchmarks
Memory benchmarks
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The function will truncate the inverted covariance matrices only when
Nk<He. There are also two methods, one forAbstractMatrixand one forDiagonal, the preserve the types. It induces some allocations whenNk<He, but at leastdotin the objective function will be always computed onHermitianorDiagonal, which is faster than generic dense matrices.