What I Read: Pathfinder, A parallel quasi-Newton algorithm

https://statmodeling.stat.columbia.edu/2021/08/10/pathfinder-a-parallel-quasi-newton-algorithm-for-reaching-regions-of-high-probability-mass/

Pathfinder: A parallel quasi-Newton algorithm for reaching regions of high probability mass
Andrew Gelman
10 August 2021, 9:07 am


“In the world of Stan, we see three roles for Pathfinder: (1) getting a fast approximation (should be faster and more reliable than ADVI), (2) part of a revamped adaptation (warmup) phase, which again we hope will be faster and more reliable than what we have now, and (3) more effectively getting rid of minor modes. This is a cool paper (and I’m the least important of the four authors) and I’m really excited about the idea of having this in Stan and other probabilistic programming languages.”