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Hessian-vector product from stan-dev/math #125

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bob-carpenter opened this issue May 26, 2023 · 1 comment · Fixed by #126
Closed

Hessian-vector product from stan-dev/math #125

bob-carpenter opened this issue May 26, 2023 · 1 comment · Fixed by #126
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enhancement New feature or request

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@bob-carpenter
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Expose the version of the Hessian-vector product functional from stan-dev/math.

Here's the functional we need to expose. We want the first one that uses reverse-mode nested in forward mode):

https://github.com/stan-dev/math/blob/develop/stan/math/mix/functor/hessian_times_vector.hpp

We should use the first version in the file (reverse nested in forward), because it's linear. Doing it with finite diffs and multiply will be quadratic (as will be using the second version in the source file).

The motivation is the optimizer (conjugate gradient trust region method) used by the following paper, which uses trust-ncg in scipi.optimize.minimize:

https://arxiv.org/pdf/2304.05527.pdf

@rgiordan said that they used PyMC because it provided Hessian-vector products.

@WardBrian
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I think this is a duplicate of (part of) #84

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