Implement Wishart distribution

Question

Implement Wishart distribution

alicanb opened this issue 7 years ago · comments

Alican Bozkurt commented 7 years ago

I think this will need multivariate polygamma

Task list:

Multivariate-polygamma
Distribution

Vishwak Srinivasan · Answer 1 · Fri Jul 13 2018 23:33:59 GMT+0800 (China Standard Time)

Although slow, I think there can be a naive implementation for the multivariate polygamma functions correct? If the naive implementation is okay, I would be happy to take this up.

Vishwak Srinivasan · Answer 2 · Fri Jul 13 2018 23:34:35 GMT+0800 (China Standard Time)

The naive implementation would be based on a summation of univariate polygamma functions.

Alican Bozkurt · Answer 3 · Sat Jul 14 2018 04:41:08 GMT+0800 (China Standard Time)

I'm not sure it would be necessary. If you implement multivariate lgamma naively, autograd should take care of the rest? (Do take the multivariate lgamma up though...)

Vishwak Srinivasan · Answer 4 · Sat Jul 14 2018 04:46:06 GMT+0800 (China Standard Time)

Ah, yes. Autograd should take up multivariate polygamma. In fact, we can use this as a testing mechanism. Shall I implement multivariate lgamma, if that's fine?