stan-dev / stan-dev/stan

Implement automatic selection of dense/diag metric at warmup

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C++
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Description

Summary:

Implement the automatic selection between metric=dense_e and metric=diag_e as described in: https://arxiv.org/abs/1905.11916

Description

It's not always obvious when the diagonal or dense metrics are the best. Or even if it's obvious that a dense metric will be good eventually, early in warmup the proposed metrics might not be so great.

This change will, at the end of each warmup stage where the metric is recomputed, decide whether to use a dense or diagonal metric for the next warmup stage (or for the sampling) automatically.

Current Version:

v2.20.0

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 by reading the linked paper and the issue's description of metric recomputation at the end of each warmup stage. Trace the existing warmup metric-selection flow, then define how the dense-versus-diagonal decision should affect the next warmup stage or sampling. Done means the selection is automatic and validated for both metric options.

Written by the indexing model from the issue text.

Assessment

Tech stack
cpp
Domain
backend
Issue type
Feature
Difficulty
5/5
Estimated time
Over a week
Activity status
Stale
Clarity
Mostly clear
Newbie friendliness
25/100

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