I recently updated rstan to 2.21.1 from 2.19.3 which means that I’m using stan 2.21.0 instead of 2.91.1. I noticed a number of changes in my outputs: The differences in parameter means seem to be equivalent to changing the seed, i.e., it seems like a different sample was generated, not necessaril…

The sampler has been optimized in between releases. The ess calculations are also changed as I recall.

Thanks. So the differences sampling are to be expected due to optimization of the sampler? Is this the TBB change? Do you happen to know what changes were made to the ESS calculations? Or which pull request or commit contained the changes?

Thanks, so these changes to Rhat are in stan 2.21.0?

2.21 is from October 2019 and that post is from March 2019, so my guess is yes but that isn’t 100%. You could compute your Rhats with this package: https://github.com/stan-dev/posterior which definitely has the new stuff and see if it matches.

[image] JustinYap: So the differences sampling are to be expected due to optimization of the sampler? Is this the TBB change? No. The sampler algorithm changed. I don’t understand why you think the TBB - aka Threading Building Blocks - would change sampling in any way. The TBB is only there t…

OK. After further investigation with different seeds it seems that while there is a difference in the samples, the ESS and Rhat are not consistently worse than before.

@wds15 Can you please point to the relevant entry in the release notes, section of the documentation, discourse thread, or relevant GitHub commits that discuss the sampler change? Your update to rstan caused our production models to start spitting out different answers, so we went to the release not…

The 2.19.x -> 2.21.x transition accumulated six months of changes in the libraries and more than a year’s worth of changes in the rstan interface, although I doubt TBB makes much difference unless your models were using map_rect. Also, the way in which the compilation works is very different now. Th…

I think this went into Stan, but did not make it into the release notes (where it should have been). Here is the respective git commit (which had a small bug which got fixed later) Add additional no-u-turn checks, clearer naming conventions …

Different results with Stan 2.21.0

General

bbbales2 July 16, 2020, 11:15pm 4

There’s links to the docs for the new Rhat is here: New R-hat and ESS . It’s more conservative (picks up some problems the old Rhat didn’t).

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Different results with Stan 2.21.0

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