[WIP] Laplace Approximation #2594
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…ev/math into try-laplace_approximation
…4.1 (tags/RELEASE_600/final)
SteveBronder
commented
Oct 1, 2021
| @@ -0,0 +1,441 @@ | |||
| #ifndef STAN_MATH_LAPLACE_LAPLACE_LIKELIHOOD_HPP | |||
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Should this file just be deleted?
SteveBronder
commented
Oct 1, 2021
| const Eigen::Matrix<T_theta, Eigen::Dynamic, 1>& theta, | ||
| const Eigen::Matrix<T_eta, Eigen::Dynamic, 1>& eta, | ||
| Eigen::Matrix<return_type_t<T_theta, T_eta>, Eigen::Dynamic, 1>& gradient, | ||
| Eigen::Matrix<return_type_t<T_theta, T_eta>, Eigen::Dynamic, 1>& hessian, |
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All the other diff methods expect a sparse matrix as the hessian, should this as well? laplace_marginal_density currently passes a sparse matrix as the hessian
…4.1 (tags/RELEASE_600/final)
SteveBronder
commented
Oct 1, 2021
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| var target | ||
| = laplace_marginal_density(diff_functor, K, phi_v, eta_v, x, delta, | ||
| delta_int, theta_0); |
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This test is failing because neg_binom does not have a defined compute_s2 method which is needed in the vari constructor. What is compute_s2 doing? Is neg_binom deprecated so we should just remove these tests?
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Also should we be using the https://eigen.tuxfamily.org/dox/unsupported/classEigen_1_1BlockSparseMatrix.html |
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Changed status to draft; looks like a bunch of work left to do here. |
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Summary
This is a very WIP PR, mostly for @charlesm93 and I to debug some things
Tests
Side Effects
Release notes
Checklist
Math issue #(issue number)
Copyright holder: Charles Margossian and Steve Bronder
The copyright holder is typically you or your assignee, such as a university or company. By submitting this pull request, the copyright holder is agreeing to the license the submitted work under the following licenses:
- Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
- Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)
the basic tests are passing
./runTests.py test/unit)make test-headers)make test-math-dependencies)make doxygen)make cpplint)the code is written in idiomatic C++ and changes are documented in the doxygen
the new changes are tested