use choleksy decomposition to calculate inverse, might be more stable…

… for some cases there Q matrix is not symmetric
jgomezdans · Oct 23, 2015 · 5672139 · 5672139
1 parent 1b9cb80
commit 5672139
Showing 1 changed file with 3 additions and 1 deletion.
diff --git a/gp_emulator/GaussianProcess.py b/gp_emulator/GaussianProcess.py
@@ -66,7 +66,9 @@ def _prepare_likelihood ( self ):
         self.Z = exp_theta[self.D]*np.exp ( -0.5*self.Z)
         self.Q = self.Z +\
             exp_theta[self.D+1]*np.eye ( self.n )
-        self.invQ = np.linalg.inv ( self.Q )
+        L = np.linalg.cholesky ( self.Q )
+        self.invQt = np.dot ( np.linalg.inv(L).dot( np.linalg.inv(L).T) )
+        #self.invQ = np.linalg.inv ( self.Q )
         self.invQt = np.dot ( self.invQ, self.targets )
 
         self.logdetQ = 2.0 * np.sum ( np.log ( np.diag ( \