ADMIN EDIT: I moved this post to its own topic, it is not the poster’s fault that it refers to a previous (but mostly unrelated) discussion.
Diverting the thread somewhat, but this is something for which I think there should definitely be a good guidance discussion somewhere. In my experience of learning Stan, it was very common to see a model with the classic "
Running the chains for more iterations may help." messages, but as far as I can see the linked page at https://mc-stan.org/misc/warnings.html doesn’t have much of a discussion around when you’re likely to have taken things too far. In my long, slow, learning process I’ve definitely run models with 64,000 iterations just because things seemed to be getting slowly better, and the “
more iterations may help” messages kept coming. From reading this forum, it seems that I’m far from the only one who has kept throwing iterations at a problem beyond what is reasonable.
I know that there is unlikely to be a hard and fast rule, but I’ve fairly frequently seen comments telling people that they should never need to run more than n-thousand iterations. It seems that there’s folk knowledge out there that should be distilled into guidance for beginners who run into this common problem. I’d certainly appreciate that guidance now, and would have loved it a year or two ago.
Alternatively, maybe this is spelled out somewhere and I’ve just missed it!