Optimize non-linear measurement error model

I’m fitting a four-parameter logistic curve where the response has measurement error and is rounded to the nearest integer. My goal is to estimate parameters of the logistic curve as well as the measurement error. In addition, I am fitting a mixture of normals for the underlying density (with unknown number of components, therefore setting a large number of mixture of components). I know I can do this in two steps but I plan to relate the two in a bigger model later.

The program takes about 20 minutes to run. Is there a way to optimize so it performs better? Can I vectorize the first for loop? From what I’ve read vectorizing doesn’t necessarily increase performance. Is 2000 iterations enough?

The program does estimate the parameters well and seems to have good mixing between the chains. The mixture of normals seems to really slow the program down, but I don’t want to remove it.

The Stan and R programs are below.


      // get current true y value based on coefficient estimates
    	real getytrue(vector coef, real x){
    		real mb;
    		real fx;
    		real ytrue;
    		mb = (2*coef[3]*coef[4])/(coef[3]+coef[4]);
    		fx = 1/(1+exp(-mb*(coef[2]-x)));
    		ytrue = coef[1]*(fx*exp(coef[3]*(coef[2]-x))+(1-fx)*exp(coef[4]*

    	// likelihood for rounded data
    	real ylikelihood(real yobs, real ytrue,real ysig){
    	  return(log_diff_exp(normal_lcdf(yobs+.5 | ytrue,ysig),normal_lcdf(yobs-.5 | ytrue,ysig)));

    data {
      int N;
      vector[N] yobs;
      vector[N] x;
      int n_groups;
      int Ngrid;
      real xgrid[Ngrid];

    parameters {
      ordered[n_groups] mu; 
      simplex[n_groups] Theta;
      real<lower=0> sigma[n_groups]; 
      vector<lower=0>[4] coef;
      real ysig;

    model {
      real contributions[n_groups];
      real y_mu;
      real alpha = 0.5;

      // priors
      sigma ~ cauchy(0,2);
      mu ~ normal(0,20);
      Theta ~ dirichlet(rep_vector(alpha, n_groups));
      coef ~ lognormal(0,5);
      ysig ~ cauchy(0,2);

      // update logistic coefficients based on rounded data
      for(i in 1:N){
        y_mu = getytrue(coef,x[i]);
        target+=ylikelihood(yobs[i], y_mu, ysig);

      // update mixture normals
      for(i in 1:N) {
        for(k in 1:n_groups) {
          contributions[k] = log(Theta[k]) + normal_lpdf(x[i] | mu[k], sigma[k]);
        target += log_sum_exp(contributions);


    // save density estimate
    generated quantities{

      real dens[Ngrid];

      // compute MIC density
      for (i in 1:Ngrid) {
    	  dens[i] = 0;
    	  for (j in 1:n_groups) {

R program


### Generate data

nobs=700; ysig=2

popmn=c(-2.5,-1,3); popstd=c(2,1,2); popprob=c(.5,.2,.3)

# Four parmeter logistic curve
mb = (2*coef[3]*coef[4])/(coef[3]+coef[4])
fx = 1/(1+exp(-mb*(coef[2]-x)))



### Run Stan model

options(mc.cores = parallel::detectCores())
compiled_model <- stan_model(file="logistic.stan")

init_fun <- function() {list(mu=seq(min(x),max(x),length=6),sigma=rep(1,6),Theta=rep(1/6,6),
fit <- sampling(compiled_model, data = dat, iter = 2000,chains = 3,verbose=TRUE,init=init_fun)

### Output

plot(fit, plotfun = "trace", pars = c('ysig','coef'), inc_warmup = FALSE)

real getytrue(vector coef, real x)

I think this function can be vectorized. Maybe something like: vector getytrue(vector coef, vector x)

.* is the per element version of multiply. ./ works for division too.

So the expression fx*exp(coef[3]*(coef[2]-x)) would need to change to fx .* exp(coef[3]*(coef[2]-x)) if you were going to vectorize it.

I wouldn’t expect a huge change, but it might do something.

sigma ~ cauchy(0,2);
ysig ~ cauchy(0,2);

If it makes sense, maybe reign in these priors. The heavy tails in Cauchys are for real, and it can be unnecessarily stressful to have the sampler go explore them. If you need Cauchys, check the “Reparameterizing the Cauchy” (pg. 339) in the 2.16 manual.

Is 2000 iterations enough?

Depends on what you need your estimated error to be. Check the stuff on effective sample size in the manual (this is the neff stuff on the Stan output). If everything is working right, the Monte Carlo error is propotional to 1 / sqrt(neff) (this is where the MCSE output in Stan comes from too).

Not great suggestions overall though haha. Maybe someone else comes along with something more definitely useful.

Thanks, your response was helpful. Do you have a suggestion for what prior may be better for the variances? Since I know the SD will be less than 10, is uniform(0,10) better?

what prior may be better for the variances?

Well probly just try a normal(0, something) and see if the sampling gets any better. Here is the priors recommendations page: https://github.com/stan-dev/stan/wiki/Prior-Choice-Recommendations

When it comes to picking priors, best to just experiment* with your specific model and see what happens. If you’re scared something is getting biased by a prior to small or whatever, just test it :D.

edit: best to read the priors page and then experiment*