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20 hours ago •
pints-team
pints-team
Add evaluateS1 method for HighDimensionalGaussianLogPDF
Why? Because it'll be very useful for functionally testing gradient-based methods. I think this can just be copied straight over from that for GaussianLogPDF.
Whilst we're at it, it might be good to update the docstrings as they're not very informative.
Also, the sigma_inv calculation in the method in GaussianLogPDF can be cached, which can be addressed in same PR, I reckon.
Also, add note about result being from chapter 2 of matrix cookbook (plus maybe https://stats.stackexchange.com/questions/27436/how-to-take-derivative-of-multivariate-normal-density).