Robust invS in outgoing Λ-rule of MvNormalMeanPrecision-node#540
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bvdmitri merged 4 commits intoNov 5, 2025
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Regularize invS in MvNormalMeanPrecision(:Λ, Marginalisation) rule to prevent singularity
Regularize invS in MvNormalMeanPrecision(:Λ, Marginalisation) rule to prevent singularity
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I think its a very nice change! But I would rather use our MatrixCorrectionTools library for this purpose. Look at the example here. The idea here is that you can use the |
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thats actually a really cool feature there - thx for highlighting it. |
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Thanks! I started the CI just in case, but I don't think it will break anything |
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I stumbled upon this small edge case during inference. check if you think it is helpful, inference also worked without it, but i thought it might add more stability.
Description
when the incoming messages ($q_{\text{out}}$ and $q_{\mu}$ ) are identical point masses, the invS became a singularity, zero matrix, leading to an undefined Wishart distribution.$\epsilon \mathbf{I}$ ) to the calculation of the inverse scale matrix ($\mathbf{invS}$ ) in the $\mathbf{\Lambda}$ VMP update.
To prevent this, this PR introduces a small regularization term (
Changes
The$10^{-6}$ times the identity matrix ($\mathbf{I}$ ) for robustness.
invScalculation now addsThis regularization guarantees$\mathbf{invS}$ is positive definite, ensuring the resulting Wishart distribution for the precision matrix is always proper.