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The isproper check for multivariate Gaussian is not ideal #194

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bvdmitri opened this issue Jun 4, 2024 · 1 comment
Closed

The isproper check for multivariate Gaussian is not ideal #194

bvdmitri opened this issue Jun 4, 2024 · 1 comment

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@bvdmitri
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bvdmitri commented Jun 4, 2024

The check we have is this one

ERROR: LoadError: Parameter vector RecursiveArrayTools.ArrayPartition{Float64, Tuple{Vector{Float64}, Matrix{Float64}}}(([2.681307820870243, 2.8111549974135714], [-1.7216965999028715 -0.4320207377364004; -0.43202073773640026 -2.325446169405964])) is not a valid natural parameter for distribution ExponentialFamily.MvNormalMeanCovariance.

The check verifies that the negative of [-1.7216965999028715 -0.4320207377364004; -0.43202073773640026 -2.325446169405964] is posdef. It is a correct check, but due to small differences in off diagonal entries the check fails. This is not ideal.
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bvdmitri commented Jun 4, 2024

Duplicate of #145

@bvdmitri bvdmitri marked this as a duplicate of #145 Jun 4, 2024
@bvdmitri bvdmitri closed this as completed Jun 4, 2024
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