> you need to start storing Hessians aren't there methods for online sparse estimates of the Hessian? I'd expect a lot of "large" problems for which RMC is us

> you need to start storing Hessians aren't there methods for online sparse estimates of the Hessian? I'd expect a lot of "large" problems for which RMC is useful would have sparse structures. > ideal sampler would be able to reason about the distribution as program Are you a developer of Stan? If not, you might be interested. http://mc-stan.org http://mc-stan.org _edit_ by online estimate of a Hessian, I meant online numerical approximation based on the sequence of Jacobians.