Moment matching with iwmm package
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调研方向
首先审查 loo::loo_moment_match 以及链接的 iwmm 包中的通用实现，包括对 matrix、stanfit 和 CmdStanFit 的支持。比较 issue 中的三个互操作性选项，并确定应采用哪种设计；完成意味着项目已经确定了扩展受支持输入的方法。
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描述
Currently loo_moment_match only works on stanfit objects (due to the reliance on the log_prob methods from rstan), but not CmdStanFit or just a matrix of draws (see e.g. #209). I was thinking about the best way to expand support of loo_moment_match to other objects, and am opening this issue mostly for discussion at this stage.
@topipa has created a generic implementation of moment matching (iwmm) which works on a matrix or stanfit object. Recently we have also added CmdStanFit support to this package (using the new model methods in cmdstanr which are currently not yet in a release).
iwmm is not (yet) on CRAN, so now might be a good time to discuss the best way to interoperate with loo.
After some discussion with @avehtari, I currently see three options (there may be others I haven't thought of):
- update functions in loo, no change to dependencies
Code from iwmm is copied into loo and adapted for use inloo::loo_moment_match(made specific for leave-one-out importance posteriors). iwmm would remain an independent package for generic importance sampling. - add iwmm dependency in loo
iwmm is submitted to CRAN andloo::loo_moment_matchis rewritten to useiwmm::moment_match. loo would then import and depend on iwmm. - move iwmm functions into loo
All iwmm functions are moved into loo, and kept generic (i.e. not specific for leave-one-out posteriors). Keeping the functions generic has some precedence as loo is the home ofloo::psiswhich is used in cases other than leave-one-out CV (e.g. in priorsense and adjustr).
@jgabry @avehtari @topipa @paul-buerkner , do you have any thoughts on this?
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