Multilevel Hidden Markov Model initial sampling fail

Hi all, I’m trying to fit a multilevel hidden markov model for a longitudinal data, but constantly met this error: Chain 1: Log probability evaluates to log(0), i.e. negative infinity.
Chain 1: Stan can’t start sampling from this initial value.
Chain 1:
Chain 1: Initialization between (-2, 2) failed after 100 attempts.

Model configuration: Gaussian emission probabilities are assumed with 2 hidden states. Time-varying transition probability matrix is fitted at subject level, with time-varying covariates implemented in multinomial link function; with another layer of covariates at subject-level, but time-invariant, being added to the t.p.m logit link at the same time.

Thanks for your help!

Here’s the stan code:

data {
  int<lower=1> N;             // num of subjects
  int<lower=1> NTotal;   // num of observations for all subjects, NTotal=sum(T[N])
  int T[N+1];   // num of observations for each subject
  int<lower=1> K;         // num of states
  int<lower=0> M;        // num of circadian components, a column vector of 1s should be added to the covariates matrix
  int<lower=0> M1;       // num of suject-level covariates
  real <lower=0> y[NTotal];  // observations
  matrix[NTotal, M] u; // time-varying components/covariates
  matrix[N, M1] u1; // subject-level covariates
  // prior for mu
  real <lower=0> mu0;
  real <lower=0> k0;
  // prior for sigma
  real <lower=0> v0;
  real <lower=0> sigma02;

parameters {
  positive_ordered[K] mu;      // observation means
  real<lower=0> sigma[K];      // observation standard deviations
  matrix[K*(K-1), M] beta[N];  // coefficients for time-varying components
  matrix[K, M1] beta1;              // coefficients for covariates

transformed parameters{
    matrix[K, K] unA[NTotal];
    matrix[K, K] A[NTotal];
    for (n in 1:N){
      for (t in (T[n]+2):(T[n]+T[n+1])){
        int betarow=1;
        for (i in 1:K){
          for (j in 1:K){
            if (i==j){
            } else {
              unA[t,i,j]=exp(beta[n, betarow]*to_vector(u[t])+beta1[j]*to_vector(u1[n]));
        for (i in 1:K)


model {
  // Normal-InverChisq-priors
  target+= normal_lpdf(mu[1] | mu0, sqrt(sigma[1]/k0));
  target+= normal_lpdf(mu[2] | mu0, sqrt(sigma[2]/k0));
  target+= scaled_inv_chi_square_lpdf(sigma[1] | v0,sigma02);
  target+= scaled_inv_chi_square_lpdf(sigma[2] | v0,sigma02);
  //priors for coefficients
  for (n in 1:N){
    for (i in 1:K*(K-1)){
      for (j in 1:M)
          beta[n,i,j] ~ normal(0, 1);
  for (i in 1:K){
    for (j in 1:M1)
      beta1[i, j] ~ normal(0, 1);
    real acc[K];
    real gamma[NTotal, K];
    // forward algorithm
    for (i in 1:N){   // loop through subject
      for (k in 1:K)  // loop through previous state
            gamma[T[i]+1, k] = normal_lpdf(y[1] | mu[k], sigma[k]);
      for (t in (T[i]+2):(T[i]+T[i+1])) { // loop through time points from subject i
        for (k in 1:K) {  // previous state
          for (j in 1:K){ // current state
          // accumulator
          // belief state + transition prob + local evidence at t
            acc[j] = gamma[t-1, j] + log(A[t][k,j]) + normal_lpdf(y[t] | mu[k], sigma[k]);
          gamma[t, k] = log_sum_exp(acc);
    target += log_sum_exp(gamma[NTotal]); // log sum of posterior mixture likelihood

Have you seen that we have a built-in HMM density now?

This should make things much easier to code/debug and will also be much faster.

Maybe @charlesm93 can rewrite the user’s guide sections to match the new function he implemented.

Thank you Bob, I’ll try it out. One quick question, does it account for non-homogenous transition probability?