Add Welford algorithm to compute covariance

aesara-devs / aehmc

An HMC/NUTS implementation in Aesara

MIT License

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Add Welford algorithm to compute covariance #36

Closed rlouf closed 2 years ago

rlouf commented 2 years ago

Related to #21. The Welford algorithm allows to compute the covariance of several parameters in an online fashion. This is commonly used to adapt the mass matrix in HMC algorithms.