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Right now we have a function pt.nlinalg.matrix_dot that is just a helper for doing repeated dot products. This is similar to but worse than np.linalg.multi_dot, because multi_dot also computes an optimal contraction path, and does the dot products in a smart order.
#722 added optimized contraction path logic, so we could include this into our matrix_dot function. While we're at it, we should rename the function to multi_dot to match the numpy API.