Laplace Approximation

Stan provides a Laplace approximation algorithm which can be used to obtain samples from an approximated posterior. The Laplace approximation works in the unconstrained space, so that if there are constrained parameters, the normal approximation is centered at the mode in the unconstrained space and then the implemented method transforms the normal approximation sample to the constrained space before outputting them.

Given the estimate of the mode \(\widehat{\theta}\), the Hessian \(H(\widehat{\theta})\) is computed using central finite differences of the model functor. Next the algorithm computes the Cholesky factor of the negative inverse Hessian:

\(R^{-1} = \textrm{chol}(-H(\widehat{\theta})) \backslash \mathbf{1}\).

Each draw is generated on the unconstrained scale by sampling

\(\theta^{\textrm{std}(m)} \sim \textrm{normal}(0, \textrm{I})\)

and defining draw \(m\) to be

\(\theta^{(m)} = \widehat{\theta} + R^{-1} \cdot \theta^{\textrm{std}(m)}\)

Finally, each \(\theta^{(m)}\) is transformed back to the constrained scale.

The one-time computation of the Cholesky factor incurs a high constant overhead of \(\mathcal{O}(N^3)\) in \(N\) dimensions. It also requires \(2N\) gradient calculations to use as the basis, which scales at best as \(\mathcal{O}(N^2)\) and is worse for models whose gradient calculation is super-linear in dimension. The algorithm also has a high per-draw overhead, requiring \(N\) standard normal pseudorandom numbers and \(\mathcal{O}(N^2)\) per draw (to multiply by the Cholesky factor). For \(M\) draws, the total cost is proportional to \(\mathcal{O}(N^3 + M \cdot N^2)\).

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