add tests + change to satisfy the tests

Author: RAYNAUD Paul (raynaudp)

src/compressed_lbfgs.jl

@@ -142,7 +142,7 @@ end
 # Algorithm 3.2 (p15)
 # step 4, Jₖ is computed only if needed
 function inverse_cholesky(op::CompressedLBFGS)
-  view(op.chol_matrix, 1:op.k, 1:op.k) .= op.α .* (transpose(view(op.Sₖ, :, 1:op.k)) * view(op.Sₖ, :, 1:op.k)) .+ view(op.Lₖ, 1:op.k, 1:op.k) * inv(op.Dₖ[1:op.k, 1:op.k]) * transpose(view(op.Lₖ, 1:op.k, 1:op.k))
+  view(op.chol_matrix, 1:op.k, 1:op.k) .= op.α .* (transpose(view(op.Sₖ, :, 1:op.k)) * view(op.Sₖ, :, 1:op.k)) .+ view(op.Lₖ, 1:op.k, 1:op.k) * inv(Diagonal(op.Dₖ[1:op.k, 1:op.k])) * transpose(view(op.Lₖ, 1:op.k, 1:op.k))
   cholesky!(Symmetric(view(op.chol_matrix, 1:op.k, 1:op.k)))
   Jₖ = transpose(UpperTriangular(view(op.chol_matrix, 1:op.k, 1:op.k)))
   return Jₖ

test/runtests.jl

@@ -7,6 +7,7 @@ include("test_linop_allocs.jl")
 include("test_adjtrans.jl")
 include("test_cat.jl")
 include("test_lbfgs.jl")
+include("test_clbfgs.jl")
 include("test_lsr1.jl")
 include("test_kron.jl")
 include("test_callable.jl")

test/test_clbfgs.jl

@@ -0,0 +1,17 @@
+@testset "CompressedLBFGS operator" begin
+  iter=50
+  n=100
+  n=5
+  lbfgs = CompressedLBFGS(n) # m=5
+  Bv = rand(n)
+  for i in 1:iter
+    s = rand(n)
+    y = rand(n)
+    push!(lbfgs, s, y)
+    # warmp-up computing the mandatory intermediate structures
+    mul!(Bv, lbfgs, s)
+    allocs = @allocated mul!(Bv, lbfgs, s)
+    @test allocs == 0
+    @test Bv ≈ y
+  end  
+end