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Detect rank-deficient matrix in adaptive covariance MCMC

Open ben18785 opened this issue 6 years ago • 0 comments

When models are close to unidentified, in adaptive covariance MCMC, the covariance matrix can become rank-deficient. If that occurs, the linear algebra used to form it may fail and halt sampling. We should instead include a try/catch condition to these routines whereby if it fails we stop adapting and use the previous covariance matrix from then on.

ben18785 avatar Nov 08 '18 11:11 ben18785