stan-dev / stan-dev/stan

structured mass matrices

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Description

It'd be nice to have structured mass matrices so that we could have a mass matrix where there are structured zeros. The use case is when we think there are correlations in the posterior among some of the parameters that should go into the mass matrix. The particular use case motivating this is a model with a dozen or so parameters and then a whole lot of item-level parameters (what some people might call "random effects" if they wanted to annoy Andrew).

  • linear algebra for structured mass matrices
  • command-line options to specify structure
  • integration with samplers

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First steps

  1. Read the whole issue, then the project's contributing guide.
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Research direction

Start by scoping the three areas listed in the issue: linear algebra for structured mass matrices, command-line options for specifying structure, and sampler integration. Define the supported structure and how completion will be validated across all three areas; the issue provides no files or tests to run.

Written by the indexing model from the issue text.

Assessment

Tech stack
cpp
Domain
machine-learning
Issue type
Feature
Difficulty
5/5
Estimated time
Over a week
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
15/100

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