math
math copied to clipboard
Update `multi_normal` to call `multi_normal_cholesky` after the cholesky
The multi_normal lpdf relies on autodiff but the multi_normal_cholesky has derivatives. It makes sense to just call multi_normal_cholesky once the Cholesky decomposition is taken of the covariance matrix in the multi_normal_lpdf to take advantage of those derivatives.
This should be a simple fix.
The precision parameterization should have derivatives as well. A few ad hoc tests of mine show that the cholesky version is faster than precision, do others see the same?