Dan Simpson • 5/15/2022

Sparse Matrices 4: Design is my passion

This fourth post in a series details the design challenges of integrating sparse matrices with automatic differentiation in JAX for PyMC models. It analyzes different implementation strategies for efficiently computing log-determinants and linear solves, specifically discussing how to avoid costly extra Cholesky decompositions when evaluating and differentiating a log-posterior function.

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#sparse matrices #Jax #Automatic Differentiation