I’m wondering if there is a faster / better way of accessing sampler diagnostics for CmdStanFit objects created by
cmdstanr when there are many parameters and generated quantities. The
fit$sampler_diagnostics() method seems to be very slow! It seems that I can perhaps generate quantities in a separate step - not sure if that will help with speedup of convergence checks? The context is that I’m trying to scale up a model to fit / predict many hundreds of times, and I would like to automate divergence and convergence checks so that I can make things break when they need to, triggering deeper triage and review, but pass otherwise to prediction. As I said I’ve tried with the methods described in the Getting Started, but extracting the fit diagnostics seems to take nearly as long as fitting the model! I’ve also tried converting to a
stanfit object, but that also seems to take a long time. Perhaps there are arguments / methods / techniques that I’m missing, or maybe I’m stuck with a long wait.