Add Cholesky decomposition to nucal._linear_fit
#987
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jsdillon
requested changes
Jan 29, 2025
| elif solver == "cho_solve": | ||
| # Factor XTX using scipy.linalg.cho_factor | ||
| if "c_and_lower" in cached_input: | ||
| c_and_lower = cached_input.get('c_and_lower') |
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Might be good to add a test that involves caching.
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Cholesky decomposition with
scipy.linalg.cho_factorcan be up to twice as fast as LU decomposition (scipy.linalg.lu_factor). This PR adds solving linear least-squares problems with Cholesky decomposition tonucal._linear_fitwhich should improve the speed of the function when running with large design matrices.