stan-dev / stan-dev/posterior

easy conversion to draws from rstantools format

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Description

I am struggling with converting posteriors I get from rstantools things like posterior_linpred to a draws object correctly. The problem is that the chain information gets dropped. Here is an example illustrating what I'd like to have:

library(posterior)
#> Warning: package 'posterior' was built under R version 4.1.2
#> This is posterior version 1.2.2
#> 
#> Attaching package: 'posterior'
#> The following objects are masked from 'package:stats':
#> 
#>     mad, sd, var


samp <- as_draws_matrix(example_draws())

## posterior_* functions from stan tools return matrices like

rstantools_samp <- matrix(as.matrix(samp), niterations(samp)*nchains(samp), nvariables(samp))
colnames(rstantools_samp) <- variables(samp)
head(rstantools_samp)
#>            mu      tau   theta[1]    theta[2]   theta[3] theta[4]    theta[5]
#> [1,] 2.005831 2.767367  3.9617520  0.27123540 -0.7431706 2.104805  0.92348879
#> [2,] 1.458316 6.979976  0.1237101 -0.06901539  0.9518270 7.281225 -0.06195211
#> [3,] 5.814947 9.677075 21.2510465 14.93055775  1.8290945 1.381443  0.53106337
#> [4,] 6.849586 4.788366 14.6996540  8.58618604  2.6749150 4.393232  4.75807198
#> [5,] 1.805168 2.848165  5.9600546  1.15573721  3.1088628 1.994890  0.76885094
#> [6,] 3.841243 4.083357  5.7601096  9.90920447 -0.9956266 5.328625  5.88894271
#>       theta[6]  theta[7]  theta[8]
#> [1,]  1.650237  3.320019  4.848542
#> [2,] 11.257502  9.621128 -8.640446
#> [3,]  7.155371 14.802013 -1.736363
#> [4,]  8.101547  9.491277  5.281551
#> [5,]  4.656270  1.208251 -4.540236
#> [6,] -1.701463  2.780403  7.075855

dim(rstantools_samp)
#> [1] 400  10

## things are order by chain, so we have

all(rstantools_samp[1:100,1] == subset_draws(samp, variable="mu", chain=1))
#> [1] TRUE
all(rstantools_samp[101:200,1] == subset_draws(samp, variable="mu", chain=2))
#> [1] TRUE

## now we should have a posterior function which lets me create from
## rstantools_samp a posterior draws thing which knows the number of
## chains. This does not work:

as_draws_matrix(rstantools_samp, .nchains=4)
#> # A draws_matrix: 400 iterations, 1 chains, and 10 variables
#>     variable
#> draw   mu tau theta[1] theta[2] theta[3] theta[4] theta[5] theta[6]
#>   1  2.01 2.8     3.96    0.271    -0.74      2.1    0.923      1.7
#>   2  1.46 7.0     0.12   -0.069     0.95      7.3   -0.062     11.3
#>   3  5.81 9.7    21.25   14.931     1.83      1.4    0.531      7.2
#>   4  6.85 4.8    14.70    8.586     2.67      4.4    4.758      8.1
#>   5  1.81 2.8     5.96    1.156     3.11      2.0    0.769      4.7
#>   6  3.84 4.1     5.76    9.909    -1.00      5.3    5.889     -1.7
#>   7  5.47 4.0     4.03    4.151    10.15      6.6    3.741     -2.2
#>   8  1.20 1.5    -0.28    1.846     0.47      4.3    1.467      3.3
#>   9  0.15 3.9     1.81    0.661     0.86      4.5   -1.025      1.1
#>   10 7.17 1.8     6.08    8.102     7.68      5.6    7.106      8.5
#> # ... with 390 more draws, and 2 more variables

Created on 2022-08-04 by the reprex package (v2.0.1)

What I can do is to crudely set the nchains attribute to the number of chains. So I think the above should just work and give me a draws thing with 4 chains... this obviously requires documented formatting of the input samples to be column major sorted...

Contributor guide

Open the contributing guide

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start with the as_draws_matrix conversion shown in the issue and review how matrix dimensions and chain metadata are handled. Use the rstantools_samp example as the reproduction case; done means converting the chain-ordered matrix with .nchains=4 produces draws with four chains and preserves the expected values.

Written by the indexing model from the issue text.

Assessment

Tech stack
r
Domain
data
Issue type
Feature
Difficulty
3/5
Estimated time
1-2 days
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
42/100

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