Add Fisher Information Matrix support and natural-gradient training#60
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ujohn33 wants to merge 3 commits intoStatMixedML:masterfrom
Open
Add Fisher Information Matrix support and natural-gradient training#60ujohn33 wants to merge 3 commits intoStatMixedML:masterfrom
ujohn33 wants to merge 3 commits intoStatMixedML:masterfrom
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@StatMixedML @nucflash please have a look once you find time |
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This PR adds natural gradient descent support to LightGBMLSS by introducing per-distribution Fisher Information Matrix (FIM) scaling of gradients.
What’s included
Notes
Natural gradient is not enabled by default; existing behavior is unchanged unless natural_gradient=True.
CRPS currently falls back to standard gradients (a warning is emitted), as natural gradient scaling is implemented for NLL.