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Replacing llt with ldlt decomposition in the Laplace approximation #3156

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spinkney opened this issue Dec 1, 2022 · 0 comments
Open

Replacing llt with ldlt decomposition in the Laplace approximation #3156

spinkney opened this issue Dec 1, 2022 · 0 comments

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@spinkney
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spinkney commented Dec 1, 2022

Summary:

The Laplace approximation code at

Eigen::MatrixXd L_neg_hessian = (-hessian).llt().matrixL();
uses a Cholesky decomposition. In other parts of Stan's code base we use the ldlt decomposition from Eigen due to it's superior numerical stability (at the expense of being slower).

Description:

Replace the llt() with ldlt() for slower but more numerically stable code.

Current Version:

v2.31.0

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