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Add an argument to write Hessian from Laplace algorithm to a file #3260

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avehtari opened this issue Jan 25, 2024 · 0 comments · Fixed by #3261

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avehtari commented Jan 25, 2024

Laplace algorithm computes Hessian at the mode, but it is not available for the user. The Hessian would be useful for

computing the normalization term of the normal approximation, which would help to estimate marginal likelihood (we have a use case)
computing normal approximation based sd and SE without drawing from the normal distribution, which would be useful for very big data and close to normal posterior
for algorithm development for algorithms that start with mode and Hessian, like CCD

WardBrian mentioned this issue

Add option to output Hessian, disable LP calculations in Laplace #3261

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3 tasks

WardBrian closed this as completed in #3261

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