LU decomposition / determinant of sparse asymmetric matrix

[syclik]

@Bob_Carpenter

I’m no longer sure what type of error we throw and catch other than std::domain_error . Some errors are fatal, like indexing errors—they stop whatever algorithm called them.

@syclik will know.

Fortunately, we’ve been documenting this stuff more thoroughly. See: https://mc-stan.org/math/d4/d84/namespacestan_1_1math.html#a65efbf7a8db1a8a9086f4d621032d9aa

Most of our validation functions will throw std::domain_error. (check_*()). Some will throw std::invalid_argument errors.

The way the MCMC samplers are configured, if there is an exception thrown and it is std::domain_error, it will treat that iteration as a rejection but as a recoverable error: set that iteration’s log probability value to 0 and move to the next iteration. If there’s an std::invalid_argument thrown, MCMC terminates. We treat these as non-recoverable, user programming errors. For example:

parameters {
  real theta[1];
}
model {
  theta[1] ~ normal(0, 1);
  theta[2] ~ normal(0, 1);
}

When we evaluate this log probability function, we’re indexing past the end of an array. We try to stop early when we know it’s an error that’s generated by the user and we really shouldn’t ignore it.