stan-dev / stan-dev/rstan

Allow specification of inverse mass matrix (Feature Request)

Open
#433 21 comments 0 reactions 0 assignees View on GitHub

Nobody has claimed this yet.

Dominant language
R
Stars
1.1k
Forks
266
Avg merge
2h 56m
Merged PRs (30d)
1

Description

Summary:

@mitzimorris recently added the specification of the initial inverse matrix (https://github.com/stan-dev/stan/pull/2260). It would be nice to have this feature in rstan.

Description:

It could be added by adding an additional argument (init_inv_metric) to the sampling command. When metric is "diag_e" then init_inv_metric is a vector, or list of vectors, one for each chain, with length equal to the number of unconstrained params. When metric is "dense_e" then init_inv_metric is a semi-positive definite matrix of the appropriate size. When metric is "unit_e" and init_inv_metric is specified, then an error is thrown.

Alternatively, for "diag_e" the inverse metric could be specified on a per parameter basis, similar to how "inits" is used to set initial values.

I could take a stab at implementing this if the proposal seems reasonable, and no one else is already working on it.

Current Version:

v2.16.2

Contributor guide

No contributing guide indexed for this repository

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 rstan sampling entry point and the handling of existing metric and init arguments, then compare Stan PR #2260. Define tests for diag_e, dense_e, and unit_e behavior; done means sampling accepts the specified inverse metric forms and rejects it for unit_e.

Written by the indexing model from the issue text.

Assessment

Tech stack
r
Domain
backend-api-design
Issue type
Feature
Difficulty
4/5
Estimated time
3-5 days
Activity status
Quiet
Clarity
Mostly clear
Newbie friendliness
48/100

Get new issues in your inbox

A short digest of beginner-friendly GitHub issues.