BlockCovariance: block-wise precision_ (fix O(p^3) densify) - #54
Merged
Conversation
…e O(p^3) inverse The inherited base precision_ densified the full p x p covariance and inverted it globally, defeating the estimator's memory/compute thesis (and contradicting its own docstring). Override precision_ to invert each small block and assemble block-diagonally -- positive-definite by construction, never forming or inverting the dense matrix. Factor the shared per-block PD construction into _pd_block. Add a test: precision_ is block-diagonal, PD, and a genuine inverse of the covariance (P @ C = I). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
1 participant
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
Fixes the code review finding on
BlockCovariance: the inherited baseprecision_densified the full p×p covariance and inverted it globally (O(p³), O(p²) memory), defeating the estimator's whole memory/compute thesis and contradicting its docstring ("the precision is likewise block-wise").precision_to invert each small block and assemble block-diagonally — O(p·b²), PD by construction, never forms or inverts the dense matrix._pd_block(used by bothcovariance_andprecision_).precision_is block-diagonal, positive-definite, and a genuine inverse (P @ C = I).ruff ✓, mypy ✓, full suite 218 passed.
🤖 Generated with Claude Code