Support for vector `sigma_noise` for multi-output problems

[magnusross]

Currently the only scalar valued noise is supported for the Laplace approximation. For my use case, having a noise value that can change for each output it is important to achieving good performance. This enchancement would involve generalising the sigma noise parameter to allow it to have multiple elements, one for each output. Note, I am not suggesting that the noise also become a function of the inputs as in this paper, just allowing it to be a vector.

If you think this would be worthwhile to add, and not too difficult, I'd be happy to give it a go. If so, any guidance on the implementation would be much appreciated!

Cheers :)

[wiseodd]

Yes, I think this would be worthwhile to add!

The starting point is here: https://github.com/aleximmer/Laplace/blob/6f170995582d07405462a3a89a252a12d412410b/laplace/baselaplace.py#L567-L591

Then, take a look at: https://github.com/aleximmer/Laplace/blob/6f170995582d07405462a3a89a252a12d412410b/laplace/baselaplace.py#L214-L241

Let me know if you have further questions!