Comments (2)
devmotion
commented on July 27, 2024
2
AFAICT this issue (and the suggested fix) are already discussed in JuliaArrays/StaticArrays.jl#1218.
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andreasnoack
commented on July 27, 2024
I believe this issue belongs in StaticArrays. The inverse of the Cholesky here isn't symmetric
julia> issymmetric(MvNormal(μ, Σ).Σ.mat)
true
julia> issymmetric(inv(MvNormal(μ, Σ).Σ.chol))
falseThis is probably because it's computed as two solves in https://github.com/JuliaArrays/StaticArrays.jl/blob/5913f330ac4834ef1521bc7faa626a0be1d6bb7a/src/cholesky.jl#L72C1-L74. Two solves is probably also more expensive than needed. A single solve followed by a symmetric rank-k update should be more efficient and ensure symmetry.
from distributions.jl.
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