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Sparse matrices for covariance#61

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luizfelippesr wants to merge 7 commits intomasterfrom
sparse_matrices
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Sparse matrices for covariance#61
luizfelippesr wants to merge 7 commits intomasterfrom
sparse_matrices

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@luizfelippesr luizfelippesr commented Oct 1, 2020

Covariance matrices can get really large. In the simplest case, however, they are mostly diagonal and rather sparse.
This PR implements the use of SciPy sparse matrices for IMAGINE covariances.

The following items need to be adjusted or refactored before this PR is merged:

  • tools.covariance_estimator.oas_cov
  • tools.covariance_estimator.oas_mcov
  • tools.parallel_ops.plu_solve
  • likelihoods.ensemble_likelihood.EnsembleLikelihood (check around vdot)
  • likelihoods.simple_likelihood.SimpleLikelihood ( (check around vdot)

@luizfelippesr luizfelippesr added the Likelihood/Covariance Involves Likelihood evaluation or Covariances label Oct 13, 2020
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