Hey there
I wanted to ask whether it's feasible to optimise a nondifferentiable posterior. For large macro models it's often impossible to derive that gradient, either manually or via AD. Like if there is simulation involved to compute moments which go into the likelihood. I have a simple package at floswald/SMM.jl but I'd like to leverage your structure. In particular diagnostics. Is there any hope you think? Thanks for the great work, here and elsewhere.
F
Hey there
I wanted to ask whether it's feasible to optimise a nondifferentiable posterior. For large macro models it's often impossible to derive that gradient, either manually or via AD. Like if there is simulation involved to compute moments which go into the likelihood. I have a simple package at floswald/SMM.jl but I'd like to leverage your structure. In particular diagnostics. Is there any hope you think? Thanks for the great work, here and elsewhere.
F