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Add the DiagonalEK1#301

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nathanaelbosch merged 99 commits intomainnathanaelbosch/ProbNumDiffEq.jl:mainfrom DiagonalEK1nathanaelbosch/ProbNumDiffEq.jl:DiagonalEK1Copy head branch name to clipboardFeb 19, 2024

+1,999-794

Commits

Commits on Feb 13, 2024

• Add a BlockDiagonal implementation

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• It works and it's (a little bit) faster than dense!

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  d0a3eb0

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• Implement a first version of the DiagonalEK1

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• Added smoothing

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• Add BlockDiagonals to the tests

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• This should be the proper logic to choose the cov factorization

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• We can now select the covariance from the outside!

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• Add some SIMD here and there

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• Make views of BlockDiagonals illegal as they are super slow

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  ff81928

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• Change how the diffusions work

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  2bb610e

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• Make some more diffusions work

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Commits on Feb 14, 2024

• Better checking for validity of algorithm arguments

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• More BlockDiagonal linalg things

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• Better handling of the diffusion for prediction

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• The global diffusion is now written into the cache directly

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• Implement rmul! or the IsometricKroneckerProduct

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• Properly ply the new diffusion after the solve

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• Properly estimate the global scalar diffusion

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• Properly implement the global MV diffusion

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• This should be a proper implementation of the dynamic MV diffusion

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• Try to fix how the prediction handles the diffusion (I failed)

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• Try to get the DynamicMV diff to work with BlockDiag cov (but fail)

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  57e533d

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• Get the DiagonalEK1 to work with a dense covariance factorization

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• Check diffusion and factorization compat somewhere else and warn instead of erroring

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• JuliaFormatter.jl

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  efeaaad

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• Implement my own BlockDiag type

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• JuliaFormatter.jl

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• Start fixing some tests

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• Remove duplicate matmul implementation

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Commits on Feb 15, 2024

• Fix some failing state init tests

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  a583738

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• Improve the diffusion handling some more

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• Enable the EK0 again with priors that are not Kronecker

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• Remove one test case that's not yet supported

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• Significantly speed up the secondorderodeproblem tests

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• Remove a test that currently fails

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• Fix many of the tests that I had to temporally remove

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  3f9e00d

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• Make it more obvious that BlockDiagonals and second order ODEs are not working

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  15d3c28

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• Rename our BlockDiagonals to ProbNumDiffEqBlockDiagonal (+ shortcut)

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• Add a BlockDiagonals extension to transfomr ours to theirs

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• Add unit-tests for our BlockDiags

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• Check that the K.b is actually empty

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• Add versions to overload also the non-blasfloat matmuls

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• Make some code more compact and readable

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• Change order to fit acronym

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• For some reson the eval tests failed; so fix them

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• Make the if else order in predict and backward kernel easier

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• misc

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• Properly implement size

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Commits on Feb 16, 2024

• Remove an inbounds as we don't explicitly do a sizecheck

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• Remove some checks again as they are irrelevant for the cov

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• Add a very minimal docstring to ProbNumDiffEqBlockDiagonal

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  e9946ac

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• Better BlockDiagonals and a bit of Kronecker

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  b15fae8

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• Make the DiagonalEK1 work again (except for secondorderodes)

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• Test the diffusions (found a bug! unittests are actually nice)

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  8d0ae85

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• Give the diffusions much more space

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  e613401

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• Grealy simplify the local error estimate code

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• Better predict tests

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• Beter update and smoothing tests

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• Praise the lord for unittests

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• JuliaFormatter.jl

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• Actually git the diffusion tests

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• Testfix

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• Remove some comments

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• Test that the computed log-likelihood is correct

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• Add BlockDiagonals compat entry

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• Add more solvers to the autodiff tests

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• Add much more tests

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• JuliaFormatter.jl

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• Better complexity test

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• Actually do a proper test to check the scaling of the solvers

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• JuliaFormatter.jl

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Commits on Feb 17, 2024

• Make preconditioner computation simpler and test better

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• One more prior test

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  3609d7e

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• Fix some tests

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  f08ff1e

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• Get the data likelihoods to work with DiagonalEK1 and the EK0

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  786b1ed

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• Make the data likelihoods better

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  29be0c0

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• JuliaFormatter.jl

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  3b53494

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• Relax the complexity tests even more

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  6d83599

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• JuliaFormatter.jl

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  be1fbef

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• Remove some unused code

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  dd7d08d

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• Bisschen code upgrade für die data likelihoods

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  d74e3c8

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• Make the complexity tests more compact

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  eb2e235

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• Remove some unused things, mainly to re-trigger gh actions

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  367b0bf

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• Fix the bad getindex for BlockDiag

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• Use the built-in matrix exponential

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• Remore parts of a test that are not implemented anymore

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Commits on Feb 18, 2024

• Improve coverage a bit

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• JuliaFormatter.jl

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• Check better what observation noise works with what factorization

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• Fix the pn_observation_noise check

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  3ab4520

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• More BlockDiag tests

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• Add some more Kronecker tests

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  a2d527a

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• JuliaFormatter.jl

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  54c62ec

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• Fix test

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Commits on Feb 19, 2024

• Make the FixedMVDiffusion work with dense matrices

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• Make the FixedMVDiffusion work with the data likelihoods

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  e67c665

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• Remove some comments

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  d9b4a36

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• Add add! to the Kronecker tests and shorten them a bit

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  71e4be4

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• Fix the failing test that I just found

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