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+jacobian option for optimizers & service functions #3149

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bob-carpenter opened this issue Oct 24, 2022 · 1 comment
Closed

+jacobian option for optimizers & service functions #3149

bob-carpenter opened this issue Oct 24, 2022 · 1 comment
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@bob-carpenter
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Summary:

Add options to include Jacobian correction for optimizers and related service functions in order to allow max a posteriori (MAP) estimates as well as the existing penalized maximum likelihood estimates (MLE).

Description:

  • Add a boolean template parameter jacobian to each of the optimizers in src/stan/optimization at the entry point for the optimization service functions; a value of true uses Jacobian and value of false turns off Jacobian adjustments; this should be the final template parameter and should default to false.

  • Add a boolean template parameter jacobian to the optimization service functions in src/stan/services; a value of true uses Jacobian adjustment and value of false turns it off; this should be the final template parameter and default to false. The value set here should be passed as a template parameter to the optimization functions.

Current Output:

Hard codes the Jacobian turned off.

Expected Output:

MLE or MAP estimates as specified.

Additional Information:

By making the new template parameter the last in the chain, this should be backward compatible.

Current Version:

v2.30.0

@WardBrian
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Closed by #3152

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