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Optimize 2 more lines in the KroneckerEK0 #107

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Merged
merged 2 commits into from
Sep 15, 2021
Merged

Optimize 2 more lines in the KroneckerEK0 #107

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bbd8ffc
Optimize 2 more lines in the KroneckerEK0
nathanaelbosch Sep 15, 2021
c27ec79
Micro-optimize things a bit more
nathanaelbosch Sep 15, 2021
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6 changes: 4 additions & 2 deletions tornadox/ek0.py
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Original file line number Diff line number Diff line change
Expand Up @@ -126,15 +126,17 @@ def initialize(self, ivp):
@staticmethod
@jax.jit
def compute_sigmasquared_error(P, Ql, z):
HQH = (P @ Ql @ Ql.T @ P.T)[1, 1]
_PQl = P[1, 1] * Ql[1, :]
HQH = _PQl @ _PQl.T
sigma_squared = z.T @ z / HQH / z.shape[0]
error_estimate = jnp.stack([jnp.sqrt(sigma_squared * HQH)] * z.shape[0])
return sigma_squared, error_estimate

@staticmethod
@jax.jit
def update(mp, Clp, P, H, z):
S = (P @ Clp @ Clp.T @ P.T)[1, 1]
_PClp = P[1, 1] * Clp[1, :]
S = _PClp @ _PClp.T
K = Clp @ (Clp.T @ H.T) / S # shape (n,1)
m_new = mp - K * z[None, :] # shape (n,d)
Cl_new = Clp - K @ H @ Clp
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