Add sparse hessian to deal with multiple or incomplete observations #8
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Allow number of rows in
data
to be different than number of variablesjax.experimental.sparse.BCOO
hessian_diag
function byhessian
in the likelihood (this will influence model.hessian and preconditioner)data_span
in the functionKernelRegModel.fit
, in casedata
is incomplete and does not contain all coordinate we are interested.Note
BCOO
seems cannot handle matrix-matrix multiplication, at least not on my computer. We need to create a operator for Hessian in the likelihood, which is probably preferable anyway :)jit
the function that will return a function, please see NewTypeError: <class 'function'> is not a valid JAX type
exception in JAX 0.2.0 jax-ml/jax#4416, and all the objective, gradient and hessian computation are vectorized, so maybe we don't needjit
for them.