sparseMVN - Multivariate Normal Functions for Sparse Covariance and Precision Matrices
Computes multivariate normal (MVN) densities, and samples from MVN distributions, when the covariance or precision matrix is sparse.
Last updated 3 years ago
5.95 score 3 stars 9 dependents 22 scripts 467 downloadstrustOptim - Trust Region Optimization for Nonlinear Functions with Sparse Hessians
Trust region algorithm for nonlinear optimization. Efficient when the Hessian of the objective function is sparse (i.e., relatively few nonzero cross-partial derivatives). See Braun, M. (2014) <doi:10.18637/jss.v060.i04>.
Last updated 3 years ago
cpp
5.64 score 4 stars 3 dependents 12 scripts 921 downloadssparseHessianFD - Numerical Estimation of Sparse Hessians
Estimates Hessian of a scalar-valued function, and returns it in a sparse Matrix format. The sparsity pattern must be known in advance. The algorithm is especially efficient for hierarchical models with a large number of heterogeneous units. See Braun, M. (2017) <doi:10.18637/jss.v082.i10>.
Last updated 2 years ago
cpp
3.70 score 3 scripts 449 downloads