I am trying to use the normal_id_glm functions and cmdstanr. But in the model below, using either normal_id_glm or normal_id_glm_lpdf results in every transition being rejected:
Chain 1 Informational Message: The current Metropolis proposal is about to be rejected because of the following issue:
Chain 1 Exception: normal_id_glm_lpdf: Matrix of independent variables is -nan, but must be finite! (in '/tmp/RtmppXmY0a/model-7ec359369638.stan', line 18, column 24 to column 80)
Chain 1 If this warning occurs sporadically, such as for highly constrained variable types like covariance matrices, then the sampler is fine,
Chain 1 but if this warning occurs often then your model may be either severely ill-conditioned or misspecified.
What’s wrong with the model?
data{
int N;
int M;
matrix[N,M] x;
vector[N] y;
real sigma;
int use_glm;
}
parameters {
real alpha;
vector[M] beta;
}
model {
beta ~ normal(0, 2);
alpha ~ normal(0, 2);
if(use_glm == 2) y ~ normal_id_glm(x, alpha, beta, sigma);
else if(use_glm == 1) target += normal_id_glm_lpdf(y | x, alpha, beta, sigma);
else y ~ normal(alpha + x * beta, sigma);
}
library(cmdstanr)
seed <- 03282020
set.seed(seed)
N <- 1e3
M <- 2
a <- 0.5
sigma <- 0.5
x <- matrix(rnorm(N*M), nrow=N)
b <- rnorm(M)
y <- rnorm(N, a + x %*% b, sd=sigma)
data_glm <- list(N=N, sigma=sigma, y=y, M=M, x=x, use_glm = 2)
data_lpdf <- list(N=N, sigma=sigma, y=y, M=M, x=x, use_glm = 1)
data_normal <- list(N=N, sigma=sigma, y=y, M=M, x=x, use_glm = 0)
model <- cmdstan_model("normal_id_glm.stan", quiet = FALSE)
# 100% divergence
fit_glm <- model$sample(
data = data_glm,
num_warmup = 500,
num_samples = 100,
num_chains = 1,
num_cores = 1,
seed = seed)
# 100% divergence
fit_lpdf <- model$sample(
data = data_lpdf,
num_warmup = 500,
num_samples = 100,
num_chains = 1,
num_cores = 1,
seed = seed)
# does just fine
fit_normal <- model$sample(
data = data_normal,
num_warmup = 500,
num_samples = 100,
num_chains = 1,
num_cores = 1,
seed = seed)
Thanks,
Session Info
> sessioninfo::session_info()
─ Session info ──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
setting value
version R version 3.6.3 (2020-02-29)
os Ubuntu 18.04.4 LTS
system x86_64, linux-gnu
ui RStudio
language (EN)
collate en_US.UTF-8
ctype en_US.UTF-8
tz America/New_York
date 2020-03-28
─ Packages ──────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
package * version date lib source
abind 1.4-5 2016-07-21 [1] CRAN (R 3.6.0)
assertthat 0.2.1 2019-03-21 [1] CRAN (R 3.6.0)
backports 1.1.5 2019-10-02 [1] CRAN (R 3.6.1)
callr 3.4.3 2020-03-28 [1] CRAN (R 3.6.3)
checkmate 2.0.0 2020-02-06 [1] CRAN (R 3.6.1)
cli 2.0.2 2020-02-28 [1] CRAN (R 3.6.1)
cmdstanr * 0.0.0.9000 2020-03-28 [1] Github (stan-dev/cmdstanr@ad9c58d)
colorspace 1.4-1 2019-03-18 [1] CRAN (R 3.6.1)
crayon 1.3.4 2017-09-16 [1] CRAN (R 3.6.0)
dplyr 0.8.5 2020-03-07 [1] CRAN (R 3.6.1)
fansi 0.4.1 2020-01-08 [1] CRAN (R 3.6.1)
ggplot2 3.3.0 2020-03-05 [1] CRAN (R 3.6.1)
glue 1.3.2 2020-03-12 [1] CRAN (R 3.6.1)
gridExtra 2.3 2017-09-09 [1] CRAN (R 3.6.0)
gtable 0.3.0 2019-03-25 [1] CRAN (R 3.6.0)
inline 0.3.15 2018-05-18 [1] CRAN (R 3.6.0)
jsonlite 1.6.1 2020-02-02 [1] CRAN (R 3.6.1)
lifecycle 0.2.0 2020-03-06 [1] CRAN (R 3.6.1)
loo 2.2.0 2019-12-19 [1] CRAN (R 3.6.1)
magrittr 1.5 2014-11-22 [1] CRAN (R 3.6.0)
matrixStats 0.56.0 2020-03-13 [1] CRAN (R 3.6.1)
munsell 0.5.0 2018-06-12 [1] CRAN (R 3.6.0)
pillar 1.4.3 2019-12-20 [1] CRAN (R 3.6.1)
pkgbuild 1.0.6 2019-10-09 [1] standard (@1.0.6)
pkgconfig 2.0.3 2019-09-22 [1] standard (@2.0.3)
posterior 0.0.2 2020-03-28 [1] Github (jgabry/posterior@e517f32)
prettyunits 1.1.1 2020-01-24 [1] CRAN (R 3.6.1)
processx 3.4.2 2020-02-09 [1] CRAN (R 3.6.1)
ps 1.3.2 2020-02-13 [1] CRAN (R 3.6.1)
purrr 0.3.3 2019-10-18 [1] CRAN (R 3.6.1)
R6 2.4.1 2019-11-12 [1] CRAN (R 3.6.1)
Rcpp 1.0.4 2020-03-17 [1] CRAN (R 3.6.3)
rlang 0.4.5 2020-03-01 [1] CRAN (R 3.6.1)
rstan 2.19.3 2020-02-11 [1] CRAN (R 3.6.1)
rstudioapi 0.11 2020-02-07 [1] CRAN (R 3.6.1)
scales 1.1.0 2019-11-18 [1] standard (@1.1.0)
sessioninfo 1.1.1 2018-11-05 [1] CRAN (R 3.6.0)
StanHeaders 2.19.2 2020-02-11 [1] CRAN (R 3.6.1)
tibble 2.1.3 2019-06-06 [1] CRAN (R 3.6.0)
tidyselect 1.0.0 2020-01-27 [1] CRAN (R 3.6.1)
withr 2.1.2 2018-03-15 [1] CRAN (R 3.6.0)
[1] /home/psadil/R/x86_64-pc-linux-gnu-library/3.6
[2] /usr/local/lib/R/site-library
[3] /usr/lib/R/site-library
[4] /usr/lib/R/library```
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