New covariance function in rstan
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Description
Summary:
Based on my understanding of https://github.com/stan-dev/stan/pull/2739, there should be new covariance function available to use via rstan.
Description:
It seems that these functions are not yet available.
Reproducible Steps:
Simple GP simulation model from the Stan manual:
data {
int<lower=1> N;
int<lower=1> D; //dimension of the GP
vector[D] x[N]; //point where the GP is estimated
}
transformed data {
matrix[N, N] L; //cholesky matrix
vector[N] mu = rep_vector(0, N); //assume 0-mean
matrix[N, N] K = gp_matern32_cov(x, 1.0, 1.0);
for(n in 1:N)
K[n, n] = K[n, n] + 0.1; // to ensure positive-definite matrix
L = cholesky_decompose(K);
}
parameters {
vector[N] eta;
}
model {
eta ~ std_normal();
}
generated quantities {
vector[N] y;
y = mu + L * eta;
}
And in R:
N <- 100
D <- 2
x <- matrix(runif(N * D), nrow = N, ncol = D)
m <- stan("GP_mat32_sim.stan", data = list(x = x, N = 100, D = 2))
Current Output:
SYNTAX ERROR, MESSAGE(S) FROM PARSER:
No matches for:
gp_matern32_cov(vector[ ], real, real)
Function gp_matern32_cov not found.
error in 'model1b50107f4b65_GP_mat32_sim' at line 8, column 49
6: transformed data {
7: matrix[N, N] L; //cholesky matrix
8: matrix[N, N] K = gp_matern32_cov(x, 1.0, 1.0);
^
9: for(n in 1:N)
Error in stanc(file = file, model_code = model_code, model_name = model_name, :
failed to parse Stan model 'GP_mat32_sim' due to the above error.
Expected Output:
NA
RStan Version:
rstan_2.19.2
R Version:
R version 3.6.1 (2019-07-05)
Operating System:
Win10
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Research direction
Start with the GP_mat32_sim.stan example and the rstan_2.19.2 parser path, then compare the covariance functions described in Stan pull request 2739 with those available through rstan. Reproduce the gp_matern32_cov parsing error using stanc and confirm completion when the example model parses and runs through the R stan() call.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- r
- Domain
- api, data
- Issue type
- Feature
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 35/100