stan
https://github.com/stan-dev/stan
C++
Stan development repository. The master branch contains the current release. The develop branch contains the latest stable development. See the Developer Process Wiki for details.
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- Issues
- Partial inits can fail for a missing array of tuples with constrained slots
- Optimizer: test sufficient decrease for the current trial step in `WolfeLineSearch`
- Optimizer: cap the first L-BFGS/BFGS step so that large initial gradients do not fail the first line search
- L-BFGS/BFGS optimization evaluates the initial gradient twice
- Optimizer: spend fewer evaluations in failing Wolfe line searches
- Adapt the HMC metric when the warmup is too short for the adaptation windows
- Optimizer: update the dense BFGS inverse Hessian in O(n²) instead of O(n³)
- Optimizer: size the dense BFGS inverse Hessian before each update
- Optimizer: avoid heap allocations per evaluation and per iteration in L-BFGS/BFGS
- Optimizer: compute the `CubicInterp` roots without cancellation
- Docs
- C++ not yet supported