In Rstan, for ADVI, is there a way to produce ELBO and eta (step-size)?


#1

In Rstan, I’m running ADVI on some models. The ADVI gives weird results and I would like to see the ELBO values and stepsize it took during iteration. Is there an easy way to extract these 2 things after ADVI converges in Rstan?

(I’m using the ‘vb’ function as

advi_result <- vb(rmodel, data=data, output_samples=2000, seed=123)


#2

No easy way. The only thing that is returned is the CSV file. You could do capture.output() and then grep the resulting file.


#3

Is there anyway in RStan to change the number of significant figures on the ELBO iterations printed to the screen?

Often I get something like -3E3 and it’s hard to tell whether there’s any progress or not due to the lack of additional digits.

Thanks!


#4

It is hard-coded in the C++.