Algebraic Solver Differentiation Speedup

In addition to implementing the improved differentiation and running an enlightening numerical experiment, @jgaeb also rewrote the algebraic solvers to work with variadic arguments!

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I am curious about the roadmap to have the Laplace approximation into stan…

Which Laplace approximation? The regular one, i.e. Gaussian approximation of the posterior, or the embedded one, i.e. approximate marginalization of latent Gaussian variables? I can speak to the latter, if this is what you have in mind.

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Sorry, but in writing, I used the abbreviations I use in my mental conversations (which obviously are not reproduced externally). I refer to the approximate marginalization of latent Gaussian variables. I don’t want to seem pushy: it is just curiosity…