rstan_power_method: Compute largest magnitude eigenvalue of Hessian and...

In jtimonen/stanbreaker: Fast way to try out different things in Stan

Description

• If udraws is a vector, the output is the eigenvalue/ eigenvector pair computed at the point in parameter space corresponding to udraws.

• If udraws is a matrix, each row is interpreted as a place to compute an eigenvalue/eigenvector pair and the output is a list of eigenvalue/eigenvector pairs.

Usage

rstan_power_method(fit, udraws, L = NULL, max_iterations = 200, tol = 1e-05)

Arguments

fit	An rstan stanfit.
udraws	Place(s) to compute Hessian(s) at.
L	An optional preconditioner matrix. If this is supplied compute the eigenvalue/eigenvector pairs of L^T * H * L.
max_iterations	Maximum number of power method iterations to use on any output.
tol	Relative tolerance check done on the eigenvalue.

Value

eigenvalue/eigenvector pairs

jtimonen/stanbreaker documentation built on Jan. 20, 2021, 12:34 a.m.