remove positive definiteness constraints, allow user defined additive inflation #360
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Purpose
Closes #359
Content
MvNormal(m,C)
tom .+ sqrt(C) * MvNormal(0,I)
, which can handle semi-definite "C"rng
into sample_empirical_gaussianadditive_inflation_cov = ...
in update to provide this. This allows for users to break the subspace propertyTesting
E.g in
Examples/LorenzAccelerated/lorenz_accelerated.jl
, onmain
the following breakswhile it works on the current branch (with different choices of inflation matrix too)
Interface Note
Before the inflation default was effectively to inflate using
additive_inflation_cov = get_cov_u_final(ekp)
now it defaults to theadditive_inflation_cov = get_cov_u_prior(ekp)
. This is because you are likely not going to use the former situation - this is better completed using multiplicative inflation.