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stripe / rainier

Bayesian inference in Scala.
https://rainier.fit
Apache License 2.0
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Adaptive mass matrix #485

Closed avibryant closed 4 years ago

avibryant commented 4 years ago

This introduces CovarianceEstimator modeled after PyMC3's implementation, and optionally uses it to adaptively find the mass matrix for HMC. Not sure it's ready for prime time yet but am setting it aside for now, and it doesn't hurt anything (and might help) to merge it in the meantime.