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scaling of KF for numeric stability #12

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scaling of KF for numeric stability #12

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1824186
scaling in KF for numeric stability
jiapivialiu Nov 27, 2024
90cf5b1
Merge branch 'ol/kf-linear' of https://github.com/glmgen/trendfilter …
jiapivialiu Nov 27, 2024
a46bb5c
Merge branch 'main' into ol/kf-linear
jiapivialiu Nov 27, 2024
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7 changes: 4 additions & 3 deletions src/linearsystem.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -146,7 +146,8 @@ void LinearSystem::kf_init(int n, int k, double rho, const Eigen::MatrixXd& Dseq
Kt_b = VectorXd::Zero(k);
Kinf_b = VectorXd::Zero(k);
RQR = s_seq.array().square().inverse();
RQR *= 1 / rho;
RQR *= 1 / sqrt(rho / n);
z = n * sqrt(rho / n);
T.row(0) = Dseq.row(0);
// backward:
r = VectorXd::Zero(k);
Expand Down Expand Up @@ -174,7 +175,7 @@ void LinearSystem::kf_iter(const Eigen::VectorXd& y, const Eigen::ArrayXd& w,
P1inf = MatrixXd::Identity(k, k);
Pinf.col(0) = Map<Eigen::VectorXd>(P1inf.data(), k * k);
while (rankp > 0 && d < n) {
df1step(y(d), 1, 1 / w(d), T, rqr, a1, P1, P1inf, rankp, vt_b, Ft_b,
df1step(y(d), 1, z / w(d), T, rqr, a1, P1, P1inf, rankp, vt_b, Ft_b,
Finf_b, Kt_b, Kinf_b);
at.col(d + 1) = a1;
vt(d) = vt_b;
Expand All @@ -189,7 +190,7 @@ void LinearSystem::kf_iter(const Eigen::VectorXd& y, const Eigen::ArrayXd& w,
for (int i = d; i < n; i++) {
if (!equal_space)
rqr = RQR(i - d);
f1step(y(i), c(i - d) / s, 1, 1 / w(i), T, rqr, a1, P1,
f1step(y(i), c(i - d) / s, 1, z / w(i), T, rqr, a1, P1,
vt_b, Ft_b, Kt_b);
vt(i) = vt_b;
Ft(i) = Ft_b;
Expand Down
2 changes: 1 addition & 1 deletion src/linearsystem.h
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Expand Up @@ -35,7 +35,7 @@ class LinearSystem {
Eigen::SparseMatrix<double> A;
// kf:
int d, rankp;
double vt_b, Ft_b, Finf_b;
double vt_b, Ft_b, Finf_b, z;
Eigen::VectorXd RQR, a1, vt, Ft, Finf, Kt_b, Kinf_b, r, r1, rtmp, sol;
Eigen::MatrixXd T, at, P1, Pt, P1inf, Pinf, Kt, Kinf, L0, L1, Ptemp;
};
Expand Down