I’m trying to sample from a one-hot encoded matrix that’s got a shape of roughly 225,000 x 1,000. Using the GLM function within pymc3 my goal is to extract the distributions for each of the coefficients from the matrix, while also incorporating gaussain priors for each of them as well. I’ve included…

Sparse array glm fit in pymc3 very long with NUTS

springcoil November 5, 2020, 9:28am 10

I would give this a go on AWS. It seems to me like you’ve hit a limitation on your computer. Let me know how it goes.

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