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Pass precision matrix to multivariate gaussian #6

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jucor opened this issue Nov 18, 2013 · 3 comments
Open

Pass precision matrix to multivariate gaussian #6

jucor opened this issue Nov 18, 2013 · 3 comments

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@jucor
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jucor commented Nov 18, 2013

Issue by jucor from Friday Nov 01, 2013 at 18:30 GMT
Originally opened as google-deepmind/torch-randomkit#6

Suggested by Shakir.
@jucor jucor mentioned this issue Nov 18, 2013
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@jucor
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jucor commented Nov 21, 2013

Come to think of it, I wonder if it is really a good idea, since the inverse is not numerically stable: it might be better to just use the pivot method every time as we currently do. Have to double check with @shakirm for his thoughts.

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jucor commented Feb 1, 2015

Ping @dpfau : we agreed on Friday that this was probably indeed a good idea :) I just realize I made this note to myself above. Any thoughts on it? Regardless, since many packages offer this, we should implement it.

@jucor jucor changed the title Pass precision matrix to multivariante gaussian Pass precision matrix to multivariate gaussian Feb 1, 2015
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dpfau commented Feb 2, 2015

Agreed it would be nice - more control over when you need to do a matrix inversion is never a bad thing.

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