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Minor clarifications (design-doc #16)
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bbbales2 committed Apr 20, 2020
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Expand Up @@ -26,14 +26,14 @@ Assuming `u` are the unconstrained variables, `c` are the constrained variables,
and `c = g(u)`, the log density sampled by Stan is:

```
log(p(u)) = log(p(g(u))) + log(det(jac(g)))
log(p(u)) = log(p(g(u))) + log(det(jac(g, u)))
```

In the Laplace approximation, we search for a mode (a maximum) of
```log(p(u))```. Call this `u_mode`. This is not the same optimization that is
done in the `optimizing` algorithm. That searches for a mode of `log(p(g(u)))`
(or the equation above without the `log(det(jac(g)))` term. These are not the
same optimizations.
where `jac(g, u)` is the Jacobian of the function `g` at `u`. In the Laplace
approximation, we search for a mode (a maximum) of ```log(p(u))```. Call this
`u_mode`. This is not the same optimization that is done in the `optimizing`
algorithm. That searches for a mode of `log(p(g(u)))` (or the equation above
without the `log(det(jac(g, u)))` term. This is different.

We can form a second order Taylor expansion of `log(p(u))` around `u_mode`:

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