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Modify BaseProblem.data_misfit to include data covariance matrix #56

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jwhhh opened this issue Sep 8, 2022 · 0 comments · Fixed by #71
Closed

Modify BaseProblem.data_misfit to include data covariance matrix #56

jwhhh opened this issue Sep 8, 2022 · 0 comments · Fixed by #71
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cofi core New feature or refactoring for core api WIP Work in progress

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jwhhh commented Sep 8, 2022

This happens when data_misfit is set to be L2 and calculated by us via residual.

  1. If the data covariance matrix isn't set, use identity matrix by default
  2. If the data covariance matrix is diagonal, use the following formula to improve performance $A^T A$ where 
    $A = \sqrt{C_d^{-1}}\times{res}$ where $\times$ means element by element
  3. If the data covariance matrix isn't diagonal, use ${res}^TC_d^{-1}{res}$ instead
@jwhhh jwhhh added the cofi core New feature or refactoring for core api label Sep 8, 2022
@jwhhh jwhhh self-assigned this Oct 3, 2022
@jwhhh jwhhh added the WIP Work in progress label Oct 3, 2022
@jwhhh jwhhh closed this as completed in #71 Oct 3, 2022
@jwhhh jwhhh closed this as completed in 06106b0 Oct 3, 2022
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