Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Add MVN low rank #3038

Open
spinkney opened this issue Mar 24, 2024 · 0 comments
Open

Add MVN low rank #3038

spinkney opened this issue Mar 24, 2024 · 0 comments
Assignees

Comments

@spinkney
Copy link
Collaborator

Description

The benefit of a low-rank MVN is that the determinant and inversion of the covariance matrix is much cheaper. I also believe that this could be useful for models of MVNs that are not fitting the covariance matrix well which could be due to small sample sizes or actual low rank covariances. See pytorch for more details https://github.com/pytorch/pytorch/blob/14e348b7ad1b3472812f2b077020d80deaf6a787/torch/distributions/lowrank_multivariate_normal.py#L72.

@spinkney spinkney self-assigned this Mar 24, 2024
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

1 participant