Currently sifting through the documentation, and I’m a little confused about the parameters of MultivariateNormalDiagPlusLowRank.
Typically, multivariate normals with low rank covariances are represented as follows
It looks like that is what this class is doing - but I’m a little confused by the parameter names.
Let me try to guess wha the parameters are
mu = loc
U = scale_perturb_factor
Lambda = scale_perturb_diag
sigma * I = scale_diag
Is that correct?
But then, what is scale_identity_multiplier?
EDIT: The link in question is here . Thanks for clarifying @gfeldman
P.S. The MathJax support in Discourse is pretty awesome - it would be really cool see that enabled here 