Indeed. This pretty much comes up whenever anyone looks at AD (Rob Trangucci being the last person to try to push on this). I had a proposal on Discourse a while back on how we could completely rebuild AD to do this. I don’t know how to do it with our current autodiff.
Related topics
| Topic | Replies | Views | Activity | |
|---|---|---|---|---|
| Sparse matrix roadmap | 37 | 1886 | October 8, 2018 | |
| Sparse matrix use cases (resolving declaration issues) | 22 | 3617 | August 16, 2017 | |
| Should sparse matrices in Stan be row major or column major | 47 | 4944 | August 21, 2017 | |
| A proposal for sparse matrices and GPs in Stan | 35 | 5074 | January 18, 2018 | |
| Speeding up hierarchical models | 26 | 2703 | June 5, 2020 |