Can I ignore Max_treedepth and adapt_delta warnings if I am getting desirable results?

Modeling
1

Hi,

I am fitting a very complicated model to data in pystan. Although I am getting good convergence, according to n_eff and 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 max_treedepth and 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.

Thanks.

2

In general you shouldn’t ignore those warnings, as they indicate that something in the geometry of your problem makes it hard for MCMC to explore: so, you can’t tell how the unexplored regions may affect your results. You’ll find answers to your questions and suggestions on how to remove these warnings in Divergent transitions - a primer.

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