Efficiency of design matrix multiplication vs. range indexing in the framework of a hierarchical model

[adi]

In the framework of a hierarchical model I defined a transformed parameter in the form
p = p_0 + D * \theta * \sigma_{\theta},
where D is a ‘design matrix’ of dimension (n,d), for number of data points n and number of groups d, encoding the group association, and where \theta is a vector of length d for the normalised deviations of p from p_0 per group and where \sigma_{\theta} is the standard deviation of the deviation of p from p_0 (i.e. p \sim \mathcal{N}(p_0, \sigma_{\theta})).

Alternatively, I can write
p = p_0 + \theta[I] * \sigma_{\theta} ,
where I is an array of indices of length n encoding the group association.
I checked that stan correctly broadcasts the vector of \theta's.

Is the alternative more efficient, or can stan deal quickly which the sparse matrix in the first option?

[bgoodri]

The indexing thing is easier if you are writing your own Stan code, and possibly faster, particularly if all the non-zero elements of the design matrix would be 1. There is a csr_matrix_times_vector function in Stan for this sort of situation, but it isn’t as fast as what one might hope.

[adi]

Great. Thank you very much for this very fast answer! Then, I will change this to optimise the code.