Multivariate Normal

[avibryant]

This introduces the MVNormal distribution, parameterized by the cholesky decomposition L of its correlation matrix A.

Currently there are only two convenient way to construct the required correlation matrix:

• Using a LKJCorrelation(eta, size).latent prior
• Using the BivariateNormal special case which takes a single corr: Real and manually constructs the cholesky for it.

More ways of constructing/decomposing matrices will be added in the future.

[bg-stripe]

Codecov Report

:exclamation: No coverage uploaded for pull request base (develop@337c4cc). Click here to learn what that means. The diff coverage is n/a.

@@            Coverage Diff             @@
##             develop     #474   +/-   ##
==========================================
  Coverage           ?   51.71%           
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  Files              ?       73           
  Lines              ?     2856           
  Branches           ?      174           
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  Hits               ?     1477           
  Misses             ?     1379           
  Partials           ?        0           

Impacted Files	Coverage Δ
...in/scala/com/stripe/rainier/core/Categorical.scala	26.53% <0.00%> (ø)
...n/scala/com/stripe/rainier/core/Multivariate.scala	0.00% <0.00%> (ø)
...main/scala/com/stripe/rainier/bench/stan/ARK.scala	0.00% <0.00%> (ø)
...com/stripe/rainier/bench/stan/ModelBenchmark.scala	0.00% <0.00%> (ø)
...a/com/stripe/rainier/bench/stan/GLMMPoisson2.scala	0.00% <0.00%> (ø)
...c/main/scala/com/stripe/rainier/sampler/EHMC.scala	0.00% <0.00%> (ø)
...ain/scala/com/stripe/rainier/ir/DataFunction.scala	100.00% <0.00%> (ø)
...ala/com/stripe/rainier/ir/ExprClassGenerator.scala	100.00% <0.00%> (ø)
...rc/main/scala/com/stripe/rainier/compute/Vec.scala	13.23% <0.00%> (ø)
...scala/com/stripe/rainier/ir/CompiledFunction.scala	92.15% <0.00%> (ø)
... and 63 more

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Codecov Report

:exclamation: No coverage uploaded for pull request base (develop31@972f977). Click here to learn what that means. The diff coverage is 38.98%.

@@             Coverage Diff              @@
##             develop31     #474   +/-   ##
============================================
  Coverage             ?   51.83%           
============================================
  Files                ?       73           
  Lines                ?     2867           
  Branches             ?      174           
============================================
  Hits                 ?     1486           
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  Partials             ?        0

Impacted Files	Coverage Δ
...in/scala/com/stripe/rainier/bench/stan/KidIQ.scala	0% <0%> (ø)
...a/com/stripe/rainier/bench/stan/GLMMPoisson2.scala	0% <0%> (ø)
...n/scala/com/stripe/rainier/core/Multivariate.scala	0% <0%> (ø)
...com/stripe/rainier/bench/stan/LowDimGaussMix.scala	0% <0%> (ø)
...rc/main/scala/com/stripe/rainier/compute/Vec.scala	13.04% <0%> (ø)
...ain/scala/com/stripe/rainier/core/Continuous.scala	76.82% <0%> (ø)
...main/scala/com/stripe/rainier/bench/stan/ARK.scala	0% <0%> (ø)
...a/com/stripe/rainier/bench/stan/EightSchools.scala	0% <0%> (ø)
...main/scala/com/stripe/rainier/core/Injection.scala	80% <100%> (ø)
...e/src/main/scala/com/stripe/rainier/core/SBC.scala	14.7% <100%> (ø)
... and 1 more

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Codecov Report

Merging #474 into develop31 will increase coverage by 0.12%. The diff coverage is n/a.

@@              Coverage Diff              @@
##           develop31     #474      +/-   ##
=============================================
+ Coverage      51.77%   51.90%   +0.12%     
=============================================
  Files             71       73       +2     
  Lines           2814     2867      +53     
  Branches         167      174       +7     
=============================================
+ Hits            1457     1488      +31     
- Misses          1357     1379      +22     

Impacted Files	Coverage Δ
...in/scala/com/stripe/rainier/compute/Cholesky.scala	82.35% <0.00%> (ø)
...n/scala/com/stripe/rainier/core/Multivariate.scala	0.00% <0.00%> (ø)
.../scala/com/stripe/rainier/ir/MethodGenerator.scala	86.41% <0.00%> (+1.23%)	:arrow_up:
...cala/com/stripe/rainier/compute/Coefficients.scala	90.47% <0.00%> (+1.58%)	:arrow_up:
...rc/main/scala/com/stripe/rainier/sampler/RNG.scala	100.00% <0.00%> (+20.00%)	:arrow_up:

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Codecov Report

:exclamation: No coverage uploaded for pull request base (develop31@c181523). Click here to learn what that means. The diff coverage is 0%.

@@             Coverage Diff              @@
##             develop31     #474   +/-   ##
============================================
  Coverage             ?   51.82%           
============================================
  Files                ?       73           
  Lines                ?     2871           
  Branches             ?      176           
============================================
  Hits                 ?     1488           
  Misses               ?     1383           
  Partials             ?        0

Impacted Files	Coverage Δ
...rc/main/scala/com/stripe/rainier/compute/Vec.scala	13.04% <ø> (ø)
...n/scala/com/stripe/rainier/core/Multivariate.scala	0% <0%> (ø)
...c/main/scala/com/stripe/rainier/compute/Real.scala	83.47% <0%> (ø)

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Legend - Click here to learn more Δ = absolute <relative> (impact), ø = not affected, ? = missing data Powered by Codecov. Last update c181523...945a072. Read the comment docs.