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Cholesky whitening#434

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comane wants to merge 11 commits intomainfrom
cholesky_whitened
Open

Cholesky whitening#434
comane wants to merge 11 commits intomainfrom
cholesky_whitened

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@comane comane commented Mar 21, 2026

motivation of this PR:

  • refactor the code so that the covariance matrix is replaced with it's cholesky decomposition. This "whitens" the computation of the chi2
  • having a whitened computation of the chi2 we are per-default in a basis in which all datapoints are iid and training validation split becomes more natural. (note that this also removes the need for a diagonal basis implementation: [WIP] diagonal covariance matrix #431 )

NOTES:

  • Whitening should give a computational advantage since when dealing with a triangular matrix we only need to compute half of the flops that we have to compute with a dense matrix.

  • A small (~10-15%) computational improvement is observed but not a factor of 2. This might be because the actual metric which counts more than flops is arithmetic intensity.

  • Maybe we should also whiten the FK tables??

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