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Feature/3146 laplace approx #3148

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merged 11 commits into from
Oct 21, 2022
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bob-carpenter
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Submission Checklist

  • Run unit tests: ./runTests.py src/test/unit
  • Run cpplint: make cpplint COULD NOT DO THIS BECAUSE I GET THIS ERROR:
~/github/stan-dev/cmdstan/stan (feature/3146-laplace-approx)$ make cpplint
make: python: No such file or directory
make: *** [cpplint] Error 1
~/github/stan-dev/cmdstan/stan (feature/3146-laplace-approx)$ which python
python: aliased to /usr/bin/python3
  • Declare copyright holder and open-source license: see below

Summary

Implements Laplace approximations as a service function for Stan models taking an unconstrained mode and returning draws from the Laplace approximation calculated using the Hessian derived by central finite differences.

Intended Effect

Set up the service function so interfaces can offer Laplace approximation.

How to Verify

Unit tests

Side Effects

No

Documentation

Yes

Copyright and Licensing

Please list the copyright holder for the work you are submitting (this will be you or your assignee, such as a university or company):

Simons Foundation

By submitting this pull request, the copyright holder is agreeing to license the submitted work under the following licenses:

@mitzimorris
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link to issue #3146

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@mitzimorris mitzimorris left a comment

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code and unit test look good.

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4 participants