I am fitting a very complicated model to data in
pystan. Although I am getting good convergence, according to
R_hat, I always get the warnings:
WARNING:pystan:336 of 4000 iterations ended with a divergence (8.4 %). WARNING:pystan:Try running with adapt_delta larger than 0.8 to remove the divergences. WARNING:pystan:2015 of 4000 iterations saturated the maximum tree depth of 10 (50.4 %)
However, the results are quite good and I am happy with them.
If I increase
adapt_delta as suggested, the fit takes very long time; so I am reluctant.
I know it’s always better to solve the warnings, but the model is so complicated it would take a lot of effort to reparametrize it (though there is no guarantee that this warnings won’t appear again). And, I am already getting good results for all the fits.
Can I simply ignore the warnings? I am looking for short answers first like:
A. I can’t. I should NEVER ignore these warnings.
B. Yes I can.
C. It depends upon the problem in hand. If the results are good, I can go ahead with these warnings.