Pathfinder.jl has some interesting utilities for obtaining inverse Hessians (and draws from multivariate normal approximations) using BFGS and LBFGS from Optim.jl and other packages. Might be able to find some code that we could adapt, or perhaps we could utilize some of the Pathfinder functions instead. I think fit_mvnormals might be a good function to look at.
Pathfinder.jl has some interesting utilities for obtaining inverse Hessians (and draws from multivariate normal approximations) using BFGS and LBFGS from Optim.jl and other packages. Might be able to find some code that we could adapt, or perhaps we could utilize some of the Pathfinder functions instead. I think
fit_mvnormals
might be a good function to look at.