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Scipy minimize using analytical gradients #780

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ProxyCausal opened this issue Jun 25, 2024 · 2 comments
Open

Scipy minimize using analytical gradients #780

ProxyCausal opened this issue Jun 25, 2024 · 2 comments
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enhancement New feature or request MMM

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@ProxyCausal
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I'm wondering why in the budget optimizer analytical gradients are not used instead of finite difference since they are faster and more accurate. With large dataset finite difference doesn't seem feasible. It seems gradients for adstock and hill isn't hard to calculate in analytical form.

@wd60622 wd60622 added enhancement New feature or request MMM labels Jun 25, 2024
@juanitorduz
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@ProxyCausal would you like to try opening a PR? :)

@wd60622
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wd60622 commented Jul 4, 2024

Should be able to make use of pytensor for the derivatives. pt.grad is the function?

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