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Wrap parent of PDMat in Symmetric in eigmin/eigmax #200

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merged 2 commits into from
Dec 8, 2023

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jishnub
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@jishnub jishnub commented Dec 8, 2023

julia> X = randn(400,600); A = X * X' + I; isposdef(A)
true

julia> S = Symmetric(A);

julia> P = PDMat(S, cholesky(S));

julia> @btime eigmax($P);
  7.598 ms (11 allocations: 1.36 MiB) # master
  4.388 ms (11 allocations: 1.36 MiB) # PR

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codecov-commenter commented Dec 8, 2023

Codecov Report

All modified and coverable lines are covered by tests ✅

Comparison is base (cd28425) 91.48% compared to head (77fff47) 91.48%.

Additional details and impacted files
@@           Coverage Diff           @@
##           master     #200   +/-   ##
=======================================
  Coverage   91.48%   91.48%           
=======================================
  Files           9        9           
  Lines         681      681           
=======================================
  Hits          623      623           
  Misses         58       58           

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I think it's fine. My only concern is that currently we don't check that a matrix is symmetric when constructing a PDMat, so this could potentially lead to surprising bugs that are hard to discover. But since we already use this pattern in other functions and rely on symmetry, I think it is OK to address this concern in a separate PR.

src/pdmat.jl Outdated Show resolved Hide resolved
Co-authored-by: David Widmann <devmotion@users.noreply.github.com>
@jishnub jishnub changed the title Wrap parent of PDMat in Hermitian in eigmin/eigmax Wrap parent of PDMat in Symmetric in eigmin/eigmax Dec 8, 2023
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Thank you!

@devmotion devmotion merged commit e5829db into JuliaStats:master Dec 8, 2023
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3 participants