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[FEAT] Efficient MinTrace (ols/wls_var/wls_struct/mint_cov/mint_shrink) #264

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@elephaint elephaint commented Mar 19, 2024

Similar to this PR, but:

  • Memory & compute efficient implementations of ols, wls_struct, wls_var.
  • Efficient implementation of computing P-matrix for all MinT methods.
  • Replaced eigenvalue check by Cholesky decomposition to test for positive definitiness of W-matrix in case of non-diagonal reconciliation methods, which is much faster.

[EDIT] left out the memory efficient Schafer-Strimmer implementation for now, it needs a bit more protections to avoid non-positive-definiteness.

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