Pars in sampling

Interfaces RStan
1

Regarding the “pars” argument in the “sampling” function in rstan, the manual states “a vector of character strings specifying parameters of interest”. My question is as follows.

Suppose I have a model with two parameters (mu and theta). mu is a vector of length equal to a million and theta is a scalar. I am only interested in the posterior samples of theta. I believe specifying pars=c(“theta”) with include=TRUE will give me the posterior samples of theta only. However, what I am not sure about is that did Stan store the samples of mu while sampling but only returned the samples of theta (and hence, required a lot of memory while sampling since mu has a million parameters) or did it never store the samples of mu (and hence, did not require a lot of memory).

2

It stores mu temporarily so that it can calculate the posterior means of the million margins of mu but does not return the posterior draws of mu to R.

3

Thanks Ben. Suppose iter=1e3. Regarding storing mu temporarily, does it store all 1e3 samples of mu at once (i.e., 1e3 * 1e6 samples in total) or does it store only a subset?

4

Only after warmup

5

Is there a way to keep Stan from storing the transformed parameters during sampling?

I have a large model with a lot of transformed parameters, and it crashes when I try to run it. Do I have to move them to the model section to avoid this?

6

If you don’t want to store something, it is better to define it in the model block. But you can specify the names of those in pars and also include = FALSE to only store their averages.