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Can this be used for Laplace approximation? #224

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blackblitz opened this issue May 9, 2024 · 0 comments
Open

Can this be used for Laplace approximation? #224

blackblitz opened this issue May 9, 2024 · 0 comments

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@blackblitz
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In Laplace approximation, the Hessian of the loss function is computed for quadratic approximation. Can this package be used to do a block-diagonal approximation of the Hessian at the minimum? If yes, could you please show (using jax and flax) how to approximate it and define a quadratic approximation of the loss function (which should be something like 1/2 (theta - theta_star)^T H(L)(theta_star) (theta - theta_star), where theta_star is the minimum and H(L) is the Hessian of the loss function)?

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