Add *(::woodburyPDMat, ::Diagonal)

Author: AlexRobson

src/woodbury_pd_mat.jl

@@ -88,3 +88,6 @@ end
 # NOTE: the parameterisation to scale up the Woodbury matrix is not unique. Here we
 # implement one way to scale it.
 *(a::WoodburyPDMat, c::Real) = WoodburyPDMat(a.A, a.D * c, a.S * c)
+*(c::Real, a::WoodburyPDMat) = a * c
+*(a::WoodburyPDMat, c::Diagonal{T}) where {T<:Real} = WoodburyPDMat(sqrt(c) * a.A, a.D, a.S * c)
+*(c::Diagonal{T}, a::WoodburyPDMat) where {T<:Real} = a * c

test/woodbury_pd_mat.jl

@@ -43,6 +43,10 @@
         c = 2.0
         @test c * W == W * c
         @test c * W_dense ≈ c * W atol=1e-6
+
+        c = Diagonal(2.0 * ones(4))
+        @test c * W == W * c
+        @test c * W_dense ≈ c * W_dense atol=1e-6
     end
 
     @testset "MvNormal logpdf" begin