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Robust invS in outgoing Λ-rule of MvNormalMeanPrecision-node #540

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Merged
bvdmitri merged 4 commits into from
Nov 5, 2025
Merged

Robust invS in outgoing Λ-rule of MvNormalMeanPrecision-node #540

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c8bd851
Update precision.jl
skoghoern Oct 27, 2025
a5a484c
Update precision.jl
skoghoern Oct 27, 2025
1fa1561
Update precision.jl
skoghoern Oct 27, 2025
161acf5
Update precision.jl - using correction!
skoghoern Oct 30, 2025
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14 changes: 7 additions & 7 deletions src/rules/mv_normal_mean_precision/precision.jl
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Original file line number Diff line number Diff line change
@@ -1,24 +1,24 @@

# Variational #
# --------------------------------- #
@rule MvNormalMeanPrecision(:Λ, Marginalisation) (q_out::Any, q_μ::Any) = begin
@rule MvNormalMeanPrecision(:Λ, Marginalisation) (q_out::Any, q_μ::Any, meta::Union{<:AbstractCorrectionStrategy, Nothing}) = begin
m_out, v_out = mean_cov(q_out)
m_mean, v_mean = mean_cov(q_μ)
d = ndims(q_μ)

df = ndims(q_μ) + 2
invS = v_mean + v_out + (m_mean - m_out) * (m_mean - m_out)'

df = d + 2
invS = correction!(meta, v_mean + v_out + (m_mean - m_out) * (m_mean - m_out)')
return WishartFast(df, invS)
end

@rule MvNormalMeanPrecision(:Λ, Marginalisation) (q_out_μ::Any,) = begin
@rule MvNormalMeanPrecision(:Λ, Marginalisation) (q_out_μ::Any, meta::Union{<:AbstractCorrectionStrategy, Nothing}) = begin
m_out_μ, v_out_μ = mean_cov(q_out_μ)

d = div(ndims(q_out_μ), 2)

mdiff = @views m_out_μ[1:d] - m_out_μ[(d + 1):end]
vdiff = @views v_out_μ[1:d, 1:d] - v_out_μ[1:d, (d + 1):end] - v_out_μ[(d + 1):end, 1:d] + v_out_μ[(d + 1):end, (d + 1):end]
invS = vdiff + mdiff * mdiff'
invS = correction!(meta, vdiff + mdiff * mdiff')

return WishartFast(d + 2, invS)
end
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