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Invert preconditioner using matrix inversion lemma #11

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1 change: 1 addition & 0 deletions src/IterGP.jl
Original file line number Diff line number Diff line change
Expand Up @@ -12,6 +12,7 @@ using AbstractGPs: AbstractGP, FiniteGP, MeanFunction, ZeroMean
export CholeskyPolicy, ConjugateGradientPolicy
export NoPreconditioner, CholeskyPreconditioner

include("lowrankplusdiagonal.jl")
include("preconditioners.jl")
include("policies.jl")
include("actors.jl")
Expand Down
16 changes: 16 additions & 0 deletions src/lowrankplusdiagonal.jl
Original file line number Diff line number Diff line change
@@ -0,0 +1,16 @@
"""
Type for matrices on the form A = D + UU' that can be inverted using the matrix inversion lemma.
"""
struct LowRankPlusDiagonal{TD <: AbstractMatrix, TU <: AbstractMatrix}
D::TD # Diagonal component
U::TU # Low-rank component
end

function LinearAlgebra.inv(A::LowRankPlusDiagonal)
(;D, U) = A
V = U'
Dinv = inv(D)
B = I + V*Dinv*U
Binv = inv(B)
Dinv - Dinv*U*Binv*V*Dinv
end
4 changes: 2 additions & 2 deletions src/preconditioners.jl
Original file line number Diff line number Diff line change
Expand Up @@ -13,8 +13,8 @@ function (p::CholeskyPreconditioner)(K, Σy)
K′ .= K′ - Iᵢ*Iᵢ'
L[:,i] = Iᵢ
end
L*L' + Σy
LowRankPlusDiagonal(Σy, L)
end

struct NoPreconditioner <: AbstractPreconditioner end
function (p::NoPreconditioner)(_, _) I end
function (p::NoPreconditioner)(_, _) I end