probml/dynamax

`psd_solve` leads to numerical errors

calebweinreb opened this issue · 0 comments

calebweinreb commented

The current implementation of psd_solve leads to numerical instability in some cases and could be improved:

  • Currently 1e-6 is added uniformly across the whole matrix. It would be more stable to just boost the diagonal.
  • Currently jnp.linalg.solve is used which doesn't take advantage of the PSD structure.