Error when specfying initial values for cholesky factor

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  • Operating System: MacOS 10.12.6
  • CmdStan Version: 2.22.1
  • Compiler/Toolkit: clang

Hi,

I have a question about initial values for a cholesky factor. I have a model for two correlated outcomes (different ground-motion parameters from different earthquakes). There is also a random effect for each earthquake. The data is truncated, with the truncation being on the first target variable.
For the truncated model, in the model building process I find it convenient to specify starting values. I’m getting an erro when specifying starting values for this model.

The Stan code for a simplified model is as follows

data {
  int<lower=1> N;  // overall number of records
  int<lower=1> NEQ;   // number of earthquakes
  int<lower=1> NP;      // number of target variables

  vector[N] M;       // magnitude

  int<lower=1,upper=NEQ> eq[N];       // earthquake id

  vector[NP] Y[N];       // log psa
  real<upper=min(Y[:,1])> Ytrunc;  // truncation value
}

transformed data {
  vector[NP] mu_eq = rep_vector(0,NP);
}

parameters {
  vector[NP] intercept;
  vector[NP] slope;

  vector<lower=0>[NP] phi;
  vector<lower=0>[NP] tau;

  vector[NP] deltaB[NEQ];

  cholesky_factor_corr[NP] L_p;
  cholesky_factor_corr[NP] L_eq;
}

model {
  vector[NP] mu[N];
  matrix[NP,NP] L_Sigma;
  matrix[NP,NP] L_Sigma_eq;

  intercept ~ normal(0,10);
  slope ~ normal(1,1);

  phi ~ normal(0,1);
  tau ~ normal(0,1);

  L_p ~ lkj_corr_cholesky(1);
  L_Sigma = diag_pre_multiply(phi, L_p);

  L_eq ~ lkj_corr_cholesky(1);
  L_Sigma_eq = diag_pre_multiply(tau, L_eq);

  deltaB ~ multi_normal_cholesky(mu_eq,L_Sigma_eq);

  for(i in 1:N) {
    mu[i] = intercept + slope * M[i] + deltaB[eq[i]];
  }

  target += multi_normal_cholesky_lpdf(Y | mu, L_Sigma) - normal_lccdf(Ytrunc | mu[:,1],phi[1]);
}

The model runs without any problems when I don’t specify any initial values. However, when I use initial values from a file, then I get the following error

Exception: matrix[uni,uni] indexing, row: accessing element out of range. index 2 out of range; 
expecting index to be between 1 and 1 (in '/var/folders/p3/r7vrsk6n2d15709vgcky_y880000gn/T/RtmpZ1S1FD/model-186147cbd6a5.stan',
line 28, column 2 to column 32)

Line 28 is where the cholesky factor is defined as a parameter. I don’t understand the error, the factor s defined as having size NP (which is two in this example). The initial values are also 2 by 2. I’s also not a problem with just these initial values.

I’m probably missing something simple here, and would appreciate any help. I attached example data and an initial file, in case someone wants to try and reproduce the example.

data_test.txt (4.6 KB)

init_test_tr_1.txt (1018 Bytes)

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2

Hi, sorry that your question fell through - did you manage to resolve this or do you still need help?

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