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Use Gauss-Newton hessian matrix in laplace approximation #1001

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fehiepsi opened this issue Apr 8, 2021 · 0 comments · Fixed by #1118
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Use Gauss-Newton hessian matrix in laplace approximation #1001

fehiepsi opened this issue Apr 8, 2021 · 0 comments · Fixed by #1118
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fehiepsi commented Apr 8, 2021

Currently, in AutoLaplaceApproximation, we use jax.hessian to compute Hessian matrix. But the hessian matrix is not always positive definite. So it would be nice to use Gaussian-Newton hessian matrix when scale_tril = Nan.
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Recommend AutoNormal guide when hessian in AutoLaplace is singular freddyaboulton/numpyro
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