Generalize auto-tuning in ADVI to grid search function, for auto-tuning in L-BFGS
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- C++
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Description
(There are a number of things I plan to generalize in the code base as I start working on the GMO implementation in Stan. I'm documenting the issues here so I don't forget.)
See title. We can use the same grid search to optimize hyperparameters for many things in Stan. The easiest extension at the moment is to make the grid search a stand-alone function, for auto-tuning the initial step-size parameter in L-BFGS.
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 by locating the existing ADVI auto-tuning grid-search implementation and the L-BFGS initial step-size code. Identify the shared behavior that can become a standalone function, then verify that it supports auto-tuning in both contexts without changing their intended behavior.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- cpp
- Domain
- machine-learning
- Issue type
- Refactor
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 25/100