Hello!
I was wondering if the new Pathfinder and Laplace variational estimation methods have already been implemented in brms.
I cannot find anything about it on the brms GitHub.
Not yet. what would have to be done to support it? from which Stan version on are they available?
1 Like
Per the Stan release notes, Laplace method is available since 2.31.0 and Pathfinder since 2.33.0. I think this would limit implementation in brms to the cmdstanr backend due to the lag of RStan.
Implementation would (I think) closely match the existing variational inference support in brms (e.g., via the $variational()method for CmdStanModel objects). The analogous $laplace() and $pathfinder() methods have a lot of the same arguments, though Pathfinder has some additional tuning options that would need documentation (or reference to the existing cmdstanr docs).
Looks simple enough. Can someone open an issue on brms github please so that I don’t forget?
1 Like
Issue opened. Thanks!
2 Likes