Switch to faster LU-factorization-based inversion for Erlangization.

smith-garrett · Jan 6, 2023 · e349398 · e349398
1 parent b6041c2
commit e349398
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diff --git a/src/Uniformization.jl b/src/Uniformization.jl
@@ -1,6 +1,6 @@
 module Uniformization
 
-using LinearAlgebra: I, eigen, diag, inv, nullspace
+using LinearAlgebra: I, eigen, diag, inv, nullspace, inv!, lu!
 using Distributions: Poisson, pdf, cdf, quantile
 
 include("algorithms.jl")

diff --git a/src/algorithms.jl b/src/algorithms.jl
@@ -160,7 +160,8 @@ at time 𝑡. The k parameter should be set to a power of two for efficiency.
 """
 function erlangization(Q, k=2^10, t=0.0, args...)
     λ = k / t
-    P = inv(I - Q ./ λ)
+    #P = inv(I - Q ./ λ)
+    P = inv!(lu!(I - Q ./ λ))
     return P^k
 end