Update `multi_normal` to call `multi_normal_cholesky` after the cholesky
Nobody has claimed this yet.
- Dominant language
- C++
- Stars
- 839
- Forks
- 220
- Avg merge
- 2d 4h
- Merged PRs (30d)
- 14
Description
The multi_normal lpdf relies on autodiff but the multi_normal_cholesky has derivatives. It makes sense to just call multi_normal_cholesky once the Cholesky decomposition is taken of the covariance matrix in the multi_normal_lpdf to take advantage of those derivatives.
This should be a simple fix.
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start at the multi_normal_lpdf and multi_normal_cholesky entry points, then trace where the covariance matrix Cholesky decomposition is taken. Confirm that multi_normal delegates to multi_normal_cholesky after that decomposition and verify the existing distribution and autodiff tests. Done means the delegation is covered without changing the distribution's results.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- cpp
- Domain
- backend
- Issue type
- Refactor
- Difficulty
- 2/5
- Estimated time
- 1-3 hours
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 45/100