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mr_hessian.m: only compute inverse of A once

time-shift
Johannes Pfeifer 2021-01-28 15:07:05 +01:00
parent b56b7760b1
commit ce56305318
1 changed files with 4 additions and 3 deletions
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7
matlab/optimization/mr_hessian.m
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@ -233,10 +233,11 @@ if outer_product_gradient
sd0(j,1)=min(prior_std(j), sd(j)); %prior std
sd0(j,1)=10^(0.5*(log10(sd0(j,1))+log10(sdh(j,1))));
end
inv_A=inv(A);
ihh=ihh./(sd*sd').*(sd0*sd0'); %inverse outer product with modified std's
igg=inv(A)'*ihh*inv(A); % inverted rescaled outer product hessian with modified std's
hh_mat=inv(igg); % outer product rescaled hessian with modified std's
hh_mat0=inv(A)'*hh_mat*inv(A); % outer product hessian with modified std's
igg=inv_A'*ihh*inv_A; % inverted rescaled outer product hessian with modified std's
% hh_mat=inv(igg); % outer product rescaled hessian with modified std's
hh_mat0=inv_A'/igg*inv_A; % outer product hessian with modified std's
% sd0=sqrt(1./diag(hh0)); %rescaled 'standard errors' using second order derivatives
% sd=sqrt(diag(igg)); %rescaled 'standard errors' using outer product
% igg=igg./(sd*sd').*(sd0*sd0'); %rescaled inverse outer product with 'true' std's