Extracting the mass matrix (Euclidean metric) in rstan

Interfaces RStan
1

Hi all,

Is there a way to extract the tuned mass matrix of a chain in rstan? I’ve been looking through the documentation and haven’t been able to find a function/ example.

Thanks.

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2

Not easily. You can dump the results into a .csv file using the sample_file argument and that .csv file has a comment in the middle of it where the diagonal elements of the mass matrix are listed, which you could parse.

3

Thanks. I’ll look into this.

4

For the benefit of anyone who ends up having the same request as me, I extracted the diagonal of the inverse mass matrix using the following steps:

First, I included the following as an argument in my stan function
sample_file <- “datadump.txt”

Then, the following code can be used to extract the diagonal entries of the inverse mass matrix from the file.

datadump <- readLines(“datadump.txt”)
massmatindex <- grep("^# Diagonal elements", datadump) + 1
xx <- datadump[massmatindex]
yy <- unlist(strsplit(xx, split=", "))
yy[1] <- substring(yy[1], 3)
massmatdiag <- as.numeric(yy)

massmatdiag is a vector containing the diagonal entries.

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5

Is there a way to do this without re-running Stan, i.e. directly working with a stanfit object?

Edit: a straightforward solution is get_adapation_info(stanfit)

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7

As of yesterday it is now easy to get this after fitting a model in CmdStanR (devtools::install_github("stan-dev/cmdstanr") to get the latest):

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