Implement Wishart distribution

probtorch / pytorch

Tensors and Dynamic neural networks in Python with strong GPU acceleration

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Implement Wishart distribution #94

Open alicanb opened 6 years ago

alicanb commented 6 years ago

I think this will need multivariate polygamma

Task list:

[x] Multivariate-polygamma
[ ] Distribution

vishwakftw commented 6 years ago

Although slow, I think there can be a naive implementation for the multivariate polygamma functions correct? If the naive implementation is okay, I would be happy to take this up.

vishwakftw commented 6 years ago

The naive implementation would be based on a summation of univariate polygamma functions.

alicanb commented 6 years ago

I'm not sure it would be necessary. If you implement multivariate lgamma naively, autograd should take care of the rest? (Do take the multivariate lgamma up though...)

vishwakftw commented 6 years ago

Ah, yes. Autograd should take up multivariate polygamma. In fact, we can use this as a testing mechanism. Shall I implement multivariate lgamma, if that's fine?