These change notes reflect changes in functionality relative to the
implementation of Laplace/AGHQ approximation in the nimble package,
version 1.3.0.
Move Laplace/AGHQ approximation from nimble to nimbleQuad package.
Add a nested approximation method that provides approximate posterior
inference using methodology similar to the well-known INLA approach
(implemented in the R-INLA package) and to the related methods for extended
Gaussian latent models (EGLMs) of Stringer et al. (2023), implemented in
the aghq R package.
Greatly improve efficiency of Laplace/AGHQ approximation through major revision of derivative calculations, including removal of "computeMethod" options (PR 52).
Greatly improve efficiency of Laplace/AGHQ approximation when using the
multivariate normal distribution, via a new dmnormAD version of the
distribution customized for efficient computation with NIMBLE's AD
system.
Greatly improve efficiency of building Laplace/AGHQ when determining parameter
dependencies in setup_OneAGHQuad (PR 48).
Greatly improve efficiency of Laplace/AGHQ summary computation of Hessian.
Automatically make use of analytic gradient and Hessian with respect to the random variables for univariate and multivariate normal distributions rather than AD in Laplace/AGHQ approximation. This also causes the "outer" Laplace/AGHQ optimization to not use the AD-based gradient.
Greatly improve the efficiency of building overall Laplace approximation when using many individual Laplace approximations (PR #59).
Inform user when overall Laplace approximation is decomposed into multiple Laplace approximations.
Improve messaging when Laplace/AGHQ approximation does not converge.
Provide a variety of quadrature grids, extending from standard AGHQ, including grid pruning, sparse grids, and allowing user-provided grids.
Automatically remove random effect nodes with no dependent data from Laplace (Issue #56).
Add ability to find posterior mode (as well as prior-penalized MLE, as used in fisheries) via Laplace approximation.
Fix handling of fnscale when updateSettings is used.
Fix buildAGHQ for case with no random effects.
Fix length of latent nodes in Laplace/AGHQ under non-1:1 transformation (PR #41).
Fix seg fault when "model" option passed as innerOptimStart (Issue #62).
mvQuad.