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Cache cholesky decomposition to improve NUTS efficiency #24

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yebai opened this issue Jan 21, 2019 · 2 comments
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Cache cholesky decomposition to improve NUTS efficiency #24

yebai opened this issue Jan 21, 2019 · 2 comments
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@yebai
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yebai commented Jan 21, 2019

The NUTS sampler computes Cholesky decomposition on the fly for each Hamiltonian step. This is likely one of the performance bottlenecks for NUTS since Cholesky decomposition is a costly operation and should be computed only once adaption is done.

https://github.com/TuringLang/Turing.jl/blob/5c94eebd5a8a0fe2471ac3fa08341d3e2d054186/src/inference/support/hmc_core.jl#L107

Related: https://github.com/TuringLang/Turing.jl/issues/559
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I'll have a look at this.

@trappmartin trappmartin self-assigned this Feb 7, 2019
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yebai commented Mar 1, 2019

Fixed by #5

@yebai yebai transferred this issue from TuringLang/Turing.jl Mar 22, 2019
@xukai92 xukai92 mentioned this issue Mar 26, 2019
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@yebai yebai closed this as completed Apr 4, 2019
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