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Use matrix inversion lemmma for preconditioner #6

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SebastianCallh opened this issue Apr 1, 2023 · 0 comments · May be fixed by #11
Open

Use matrix inversion lemmma for preconditioner #6

SebastianCallh opened this issue Apr 1, 2023 · 0 comments · May be fixed by #11

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@SebastianCallh
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We use a low-rank partial Cholesky plus diagonal observation noise as a preconditioner so we should make use of the matrix inversion lemma to save on compute when applying it.
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Invert preconditioner using matrix inversion lemma SebastianCallh/IterGP.jl
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@SebastianCallh