Cameron Pfiffer

What's the best way to get the Hessian from #Stan models after optimizing?

#mcmcstan

Jan 30, 2023 at 7:42pmWeb
Show threadStijn MasscheleinJan 31, 2023

@cameron Maybe the relatively new BridgeStan can help you

https://discourse.mc-stan.org/t/bridgestan-1-0-0-released/29742

BridgeStan 1.0.0 released

We’re very happy to announce the release of version 1.0.0 of BridgeStan. What is BridgeStan? To quote from the documentation, BridgeStan provides efficient in-memory access through Python, Julia, and R to the methods of a Stan model, including log densities, gradients, Hessians, and constraining and unconstraining transforms. In other words, BridgeStan lets you define a model in Stan, compile it to C++, then access it efficiently through Python, Julia, or R. BridgeStan does not perform an...

The Stan Forums
Show threadAki VehtariJan 31, 2023
@cameron BridgeStan mentioned by @StijnMasschelein is a good choice. If using RStan, see a notebook https://avehtari.github.io/casestudies/Jacobian/jacobian.html
Show threadBenjamin DeonovicJan 31, 2023
@cameron first you need to recite 10 hail Jeffreys at Bayes altar for such heresy.
Show threadCameron PfifferJan 31, 2023
@bdeonovic A statistician praying for forgiveness from a dark Bayesian god. #midjourney
Show threadBenjamin DeonovicJan 31, 2023
@cameron this is amazing