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

junpenglao October 26, 2020, 7:06am 5

I think it is also worth trying to split the dataset, or ADVI with minibatch - we dont have a lot of example dealing with large data set so I would love to learn about your experience and approach

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Sparse array glm fit in pymc3 very long with NUTS

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