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Stan development repository. The master branch contains the current release. The develop branch contains the latest stable development. See the Developer Process Wiki for details.
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Expose Laplace Approximation #2522

Open charlesm93 opened 6 years ago

charlesm93 commented 6 years ago

Summary:

Complements issue 755 in the math repo.

Description:

The goal is to design specialized functions to efficiently compute the posteriors of latent gaussian models. In particular we want to consider the case where the observations follow a conditional distribution which is Normal, Poisson, Binomial, and Negative Binomial.

Exposing the functions shouldn't be too hard, as at first glance the functions are not higher-order functions. This may change if we make the functions less specialized and more flexible.

Current Version:

v2.17.1

bob-carpenter commented 6 years ago

@charlesm93 --- thanks for following up on this. Could you include the specific signatures you're proposing either here or in the math lib issue?

I'd strongly suggest tackling one of these functions end-to-end first. At that point, the others should be easy to knock out or delegate.

charlesm93 commented 6 years ago

@bob-carpenter Yes, I'll get to it, though not in the immediate future. We still need a good proof of concept and tests to asses how efficacious the approximation is. But right now, I don't have time to get to it.