stan-dev / stan-dev/rstan

Add option for sampler warnings

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@bgoodri is already working on this.

Since May 18, 2019.

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Description

Summary:

New RStan runs throw_sampler_warnings after sampling. This is fine by default, but it would be useful to have an option to disable it. For models with a large number of parameters, transformed parameters or generated quantities, running throw_sampler_warnings can take couple minutes, which can be more than the actual sampling, which is annoying if running repeated simulation studies. Furthermore, the results from rhat, ess_bulk and ess_tail are not stored anywhere and in order to find out where the potential problems are these have to be recomputed, doubling the computation time for diagnostics.

Suggestion: add an option sampler_warnings with values 0, 1, 2, where 0 is no warnings, 1 is warning which don't require additional computation, and 2 for all warnings (including rhat, ess_bulk and ess_tail). Default would be 2.

RStan Version:

github develop version

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