cleaner numerical errors management for EDO adaptive algos
- Change the ill-condition continuator to use eigen decomposition of the covariance matrix, just like in the adaptive estimator. - Add a warning message in adaptive sampler.
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6 changed files with 174 additions and 104 deletions
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@ -227,14 +227,15 @@ public:
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// Matrix CS = C.triangularView<Eigen::Upper>() + C.triangularView<Eigen::StrictlyUpper>().transpose();
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d.covar( C );
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Eigen::SelfAdjointEigenSolver<Matrix> eigensolver( d.covar() ); // FIXME use JacobiSVD?
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d.coord_sys( eigensolver.eigenvectors() );
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Eigen::SelfAdjointEigenSolver<Matrix> eigensolver( d.covar() );
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Matrix mD = eigensolver.eigenvalues().asDiagonal();
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assert( mD.innerSize() == N && mD.outerSize() == N );
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// from variance to standard deviations
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mD.cwiseSqrt();
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d.scaling( mD.diagonal() );
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d.coord_sys( eigensolver.eigenvectors() );
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}
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return d;
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