Is it possible to use NUTS in PyMC3 with a model that involves the eigendecomposition of parameters?

Question

I have a model where the likelihood involves computing the sum of all the terms in the matrix

P = U exp(tD) U^-1

Where

UDU^-1 = Q

and Q is my matrix of parameters.If I wanted to use NUTS in PyMC3, NUTS would have to be able to compute the derivative of all the elements in P with respect to each of the elements in Q. Is this possible using the symbolic differentiator in Theano that PyMC3 uses?

Answer 1

PyMC3 uses Theano for computation and autodiff. Theano has very good support for tensor algebra (of which matrix algebra is a subset) so I think that your model should be supported.