Help on the initialization error of my stan program


I am new to stan. As suggested by a Professor, I intend to rewrite my Metropolis-within-Gibbs sampler developed for our new model to Hamiltonian Monte Carlo/NUTS by Rstan. Our model could be formulated as Y_{n \times r} \sim X1C_{n \times pc} + X1D_{n \times pd} + X2_{n \times p2}, where Y and X1C are continuous variables, X1D are discrete variables, and X2 could be a mix of continuous and discrete variables. We also put some other assumptions and priors, but will be omitted here for simplicity. Below is the Rstan code (“SIMP.stan”) I wrote.

functions {
  matrix kronecker_prod(matrix A, matrix B) {  
    matrix[rows(A) * rows(B), cols(A) * cols(B)] C;
    int m;
    int n;
    int p;
    int q;
    m = rows(A);
    n = cols(A);
    p = rows(B);
    q = cols(B);
    for (i in 1:m) {
      for (j in 1:n) {
        int row_start;
        int row_end;
        int col_start;
        int col_end;
        row_start = (i - 1) * p + 1;
        row_end = (i - 1) * p + p;
        col_start = (j - 1) * q + 1;
        col_end = (j - 1) * q + q;
        C[row_start:row_end, col_start:col_end] = A[i, j] * B;
    return C;

data {
  // these are dimensions
  int<lower=1> pc;
  int<lower=1> pd;
  int<lower=1> p2;
  int<lower=1> r;
  int<lower=1> n;
  int<lower=1, upper=pc-1> dx;
  int<lower=1, upper=r-1> dy;
  // these are data matrices
  array[n] vector[pc] X1C;
  array[n] vector[pd] X1D;
  array[n] vector[p2] X2;
  array[n] vector[r] Y;

parameters {
  vector[pc] mu1C;
  vector[r] muY;
  matrix[p2, r] beta2;
  matrix[pd, pc] gamma;
  cov_matrix[dx] Omega;
  cov_matrix[pc - dx] Omega0;
  cov_matrix[dy] Phii;
  cov_matrix[r - dy] Phii0;
  matrix[pc - dx, dx] A;
  matrix[r - dy, dy] B;
  matrix[dy, dx] etaC;
  matrix[dy, pd] etaD;

transformed parameters {
  matrix[pc, dx] CA;
  matrix[pc, dx] L;
  matrix[pc, pc - dx] DA;
  matrix[pc, pc - dx] L0;
  matrix[r, dy] CB;
  matrix[r, dy] R;
  matrix[r, r - dy] DB;
  matrix[r, r - dy] R0;
  // matrix[pc, pc] SigmaCD;
  cov_matrix[pc] SigmaCD;
  // matrix[r, r] SigmaYX;
  cov_matrix[r] SigmaYX;
  matrix[pc ,r] beta1C;
  matrix[pd ,r] beta1D;
  CA = append_row(identity_matrix(dx), A);
  L = CA * inv_sqrt( crossprod(CA) );
  DA = append_row(-A', identity_matrix(pc - dx));
  L0 = DA * inv_sqrt( crossprod(DA) );
  CB = append_row(identity_matrix(dy), B);
  R = CB * inv_sqrt( crossprod(CB) );
  DB = append_row(-B', identity_matrix(r - dy));
  R0 = DB * inv_sqrt( crossprod(DB) );
  SigmaCD = quad_form(Omega, L') + quad_form(Omega0, L0');
  SigmaYX = quad_form(Phii, R') + quad_form(Phii0, R0');
  beta1C = L * etaC' * R';
  beta1D = etaD' * R';

model {
  array[n] vector[pc] meanCD;
  array[n] vector[r] meanYX;
  for (i in 1:n){
    meanCD[i] = mu1C + gamma' * X1D[i];
    meanYX[i] = muY + beta1C' * X1C[i] + beta1D' * X1D[i] + beta2' * X2[i];
  for (i in 1:n) {
    X1C[i] ~ multi_normal(meanCD[i], SigmaCD);
    Y[i] ~ multi_normal(meanYX[i], SigmaYX);
  to_vector(beta2) ~ multi_normal(to_vector(inverse_spd(1e-6 * identity_matrix(p2)) * rep_matrix(0, p2, r)), kronecker_prod(SigmaYX, inverse_spd(1e-6 * identity_matrix(p2))));
  to_vector(gamma) ~ multi_normal(to_vector(inverse_spd(1e-6 * identity_matrix(pd)) * rep_matrix(0, pd, pc)), kronecker_prod(SigmaCD, inverse_spd(1e-6 * identity_matrix(pd))));

  to_vector(A) ~ multi_normal(to_vector(rep_matrix(0, pc - dx, dx)), kronecker_prod(1e6 * identity_matrix(dx), 1e6 * identity_matrix(pc - dx)));
  to_vector(B) ~ multi_normal(to_vector(rep_matrix(0, r - dy, dy)), kronecker_prod(1e6 * identity_matrix(dy), 1e6 * identity_matrix(r - dy)));

  to_vector(etaC) ~ multi_normal(to_vector(rep_matrix(0, dy, dx) * inverse_spd(1e-6 * identity_matrix(dx))), kronecker_prod(inverse_spd(1e-6 * identity_matrix(dx)), Phii));
  to_vector(etaD) ~ multi_normal(to_vector(rep_matrix(0, dy, pd) * inverse_spd(1e-6 * identity_matrix(pd))), kronecker_prod(inverse_spd(1e-6 * identity_matrix(pd)), Phii));
  Omega ~ inv_wishart(dx, 1e-6 * dx * identity_matrix(dx));
  Omega0 ~ inv_wishart(pc - dx, 1e-6 * (pc - dx) * identity_matrix(pc - dx) );
  Phii ~ inv_wishart(dy, 1e-6 * dy * identity_matrix(dy));
  Phii0 ~ inv_wishart(r - dy, 1e-6 * (r - dy) * identity_matrix(r - dy) );

And the R codes I execute after generating all data matrices of valid dimensions and variable types, and initial parameters by a R function get_init() for our Metropolis-within-Gibbs sampler.

params_init <- get_init(X1C, X1D_ctr, X2_ctr, Y, dx, dy, method.idx = 1)
initf <- function() {
  list( mu1C = params_init$muX1C, muY = params_init$muY,
        beta2 = params_init$beta2, gamma = params_init$gamma,
        Omega = params_init$Omega, Omega0 = params_init$Omega0,
        Phii = params_init$Phi, Phii0 = params_init$Phi0,
        A = params_init$A, B = params_init$B,
        etaC = params_init$etaC, etaD = params_init$etaD)
} <- stan_model("SIMP.stan")

options(mc.cores = parallel::detectCores())
fit <- sampling(, 
                data = list(pc = pc, pd = pd, p2 = p2, r = r, n = n, dx = dx, dy = dy, 
                            X1C = X1C, X1D = X1D, X2 = X2, Y = Y), 
                init = initf,
                iter = 20000, chains = 1)

However, although compiled correctly, I consistently got error for the initializations like
"Chain 1: Rejecting initial value:
Chain 1: Error evaluating the log probability at the initial value.
Chain 1: Exception: model4557f3ec824__namespace::log_prob: SigmaCD is not symmetric. SigmaCD[1,2] = nan, but SigmaCD[2,1] = nan (in ‘anon_model’, line 72, column 2 to column 25)
Chain 1:
Chain 1: Initialization between (-2, 2) failed after 100 attempts.
Chain 1: Try specifying initial values, reducing ranges of constrained values, or reparameterizing the model.
[1] “Error in sampler$call_sampler(args_list[[i]]) : Initialization failed.”

I am pretty sure the initial values I give are good enough (works for the Metropolis-within-Gibbs sampler and \sqrt{n}-consistent). I really appreciate it if anyone could let me know where goes wrong. I am stuck in debugging for few days. Thank you so much.

The error is saying that your construction of SigmaCD is resulting in nan or invalid values, so you’ll need to double-check your syntax.

Additionally, I don’t think you need these kronecker products and overly complex constructions. Your kronecker products are constructing block diagonal matrices with the same matrix on every block diagonal. Additionally, your mean vector is just resolving to a vector of zeros. So when you specify a model like:

parameters {
  matrix[p2, r] beta2;
transformed parameters {
  cov_matrix[r] SigmaYX;
model {
  to_vector(beta2) ~ multi_normal(to_vector(inverse_spd(1e-6 * identity_matrix(p2)) * rep_matrix(0, p2, r)), kronecker_prod(SigmaYX, inverse_spd(1e-6 * identity_matrix(p2))));

Then each row of beta2 is receiving an identical prior. Instead you could just declare beta2 as an array of vectors and use the vectorised multi_normal() to express this:

transformed data {
  // Construct once in transformed data for efficiency
  vector[r] r_zero_vector = rep_vector(0, r);
  real inv_1e6 = inv(1e-6);
parameters {
  array[p2] vector[r] beta2;
transformed parameters {
  cov_matrix[r] SigmaYX;
model {
  beta2 ~ multi_normal(r_zero_vector, SigmaYX * inv_1e6);

Noting that the inverse of a diagonal matrix just requires taking the reciprocal of the diagonals, and the diagonal matrix you’re providing to the kronecker product has the same value for every element of the diagonal.

Similarly, you don’t need to loop over the multi_normal() for your outcomes, since this distribution is vectorised. So it will be markedly more efficient to just write:

    X1C ~ multi_normal(meanCD, SigmaCD);
    Y ~ multi_normal(meanYX, SigmaYX);

Hi andrjohns,

Thanks so much for your suggestions. Yes, I indeed found the bug for SigmaCD after struggling. The mistake is that I wrongly thought inv_sqrt() could be used as the inverse of the square root matrix of a matrix. But in such case, does Stan have an established function for this purpose, or should we write by ourselves?

Yes, you are right that the Kronecker product is unnecessary under this specification of those hyperparameters. However, I want to impose the matrix-normal priors by using multi-normal(), so I need to use Kronecker product. I want to ensure that it is applicable to other non-trivial hyperparameters. So in such case, I need to define those hyperparameters in data, and input those different hyperparameters when running sampling (for flexibility), right?

Thanks for letting me know the following revision

X1C ~ multi_normal(meanCD, SigmaCD);
Y ~ multi_normal(meanYX, SigmaYX);

I have revised it. Thank you in advance if have any further suggestions, I will appreciate them a lot.