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Minor clarifications (design-doc #16)
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designs/0016-hessian_optimize_cmdstan.md

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@@ -26,14 +26,14 @@ Assuming `u` are the unconstrained variables, `c` are the constrained variables,
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and `c = g(u)`, the log density sampled by Stan is:
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```
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log(p(u)) = log(p(g(u))) + log(det(jac(g)))
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log(p(u)) = log(p(g(u))) + log(det(jac(g, u)))
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```
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In the Laplace approximation, we search for a mode (a maximum) of
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```log(p(u))```. Call this `u_mode`. This is not the same optimization that is
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done in the `optimizing` algorithm. That searches for a mode of `log(p(g(u)))`
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(or the equation above without the `log(det(jac(g)))` term. These are not the
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same optimizations.
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where `jac(g, u)` is the Jacobian of the function `g` at `u`. In the Laplace
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approximation, we search for a mode (a maximum) of ```log(p(u))```. Call this
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`u_mode`. This is not the same optimization that is done in the `optimizing`
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algorithm. That searches for a mode of `log(p(g(u)))` (or the equation above
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without the `log(det(jac(g, u)))` term. This is different.
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We can form a second order Taylor expansion of `log(p(u))` around `u_mode`:
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