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

jezlax October 25, 2020, 8:45pm 3

thank you junpenglao. I am incorporating this today will report back.

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