Laplace approximation now uses Multivariate Normal's #506
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Previously,
ed.Laplace
ran MAP and then printed out the precision matrix. That is not useful. Nowed.Laplace
properly takes in multivariate normal random variables as input, optimizes their means via MAP, and finally sets their covariance matrices to be the inverse of the observed Fisher information.See
test_laplace.py
for the many ways you can instantiateed.Laplace
. They follow the many subclasses of MultivariateNormal random variables.Remarks
ed.hessian
utility function in favor of TensorFlow'stf.hessians
. This significantly speeds up their calculation.