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This PR adds MvNormalMeanScalePrecision that implements a multivariate normal distribution node with a "scaled" diagonal precision matrix, i.e.
N(y|x, γI) where γ ~ Gamma(a, b) and I is the identity matrix.

The main difference between this node and the MvNormalMeanPrecision is the update equation for the precision parameter. Unlike MvNormalMeanPrecision, which sends a message proportional to Wishart, the MvNormalMeanScalePrecision will send a Gamma-like message.

When defining the model, I expect the user to add this node in the following way, i.e.

...
τ ~ Gamma(1.0, 1.0) # prior
y ~ MvNormal=ones(2), γ=τ)
...

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codecov-commenter commented Aug 4, 2022

Codecov Report

Merging #184 (01a4b51) into master (c7d269c) will increase coverage by 0.13%.
The diff coverage is 100.00%.

@@            Coverage Diff             @@
##           master     #184      +/-   ##
==========================================
+ Coverage   76.68%   76.81%   +0.13%     
==========================================
  Files         196      200       +4     
  Lines        6621     6660      +39     
==========================================
+ Hits         5077     5116      +39     
  Misses       1544     1544              
Impacted Files Coverage Δ
src/ReactiveMP.jl 66.66% <ø> (ø)
src/nodes/mv_normal_mean_scale_precision.jl 100.00% <100.00%> (ø)
src/rules/mv_normal_mean_scale_precision/mean.jl 100.00% <100.00%> (ø)
src/rules/mv_normal_mean_scale_precision/out.jl 100.00% <100.00%> (ø)
.../rules/mv_normal_mean_scale_precision/precision.jl 100.00% <100.00%> (ø)

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@albertpod albertpod marked this pull request as ready for review August 4, 2022 15:59
@albertpod albertpod requested a review from ismailsenoz August 5, 2022 10:01
@albertpod albertpod requested a review from Nimrais August 15, 2022 16:58
@bvdmitri bvdmitri merged commit c6cac0c into master Aug 17, 2022
@bvdmitri bvdmitri deleted the dev-scaled-mvnormal branch August 17, 2022 15:01
@bvdmitri
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Great @albertpod , thanks!

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4 participants