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[FEAT] Efficient MinTrace (ols/wls_var/wls_struct/mint_cov/mint_shrink) #264

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merged 5 commits into from
Jul 25, 2024

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elephaint
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@elephaint elephaint commented Mar 19, 2024

Similar to this PR, but:

  • Memory & compute efficient implementations of ols, wls_struct, wls_var.
  • Efficient implementation of computing P-matrix for all MinT methods.
  • Replaced eigenvalue check by Cholesky decomposition to test for positive definitiness of W-matrix in case of non-diagonal reconciliation methods, which is much faster.

[EDIT] left out the memory efficient Schafer-Strimmer implementation for now, it needs a bit more protections to avoid non-positive-definiteness.

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@jmoralez
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I think the strategy to clean the notebooks here is similar to neuralforecast:

  • nbdev_clean --clear_all
  • git restore nbs/examples
    Can you please try that?

@elephaint
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I think the strategy to clean the notebooks here is similar to neuralforecast:

  • nbdev_clean --clear_all
  • git restore nbs/examples
    Can you please try that?

Thanks - yes did so, see this PR is still from when I submitted it via a fork. I think it should be good now, and for next I'll work on the main.

@jmoralez jmoralez merged commit 01d8138 into Nixtla:main Jul 25, 2024
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3 participants