Based on the description in Run Stan's MCMC algorithms — model-method-sample • cmdstanr this doesn’t seem possible, but it would be a required feature when saving the warmed up parameters from multiple chains. By contrast, it’s straightforward to pass different step sizes for each chain.

It accepts a metric per chain, just not documented as having that capability. You just do inv_metric = warmup$inv_metric(matrix=F). Here’s the full warmup-then-sample code: warmup = mod$sample( data = data_for_stan , chains = parallel_chains , parallel_chains = parallel_chains , refresh = 0 , show_messages = F , seed = seed , iter_warmup = iter_warmup , save_warmup = T #for inits , sig_figs = 18 , iter_sampling = 0 ) get_inits = function(chain_id){ warmup_draws = warmup$draws(inc_warmup=T) final_warmup_value = warmup_draws[iter_warmup,chain_id,] init_list = as.list(final_warmup_value) names(init_list) = dimnames(final_warmup_value)[[3]] init_list = init_list[names(init_list)!='lp__'] return(init_list) } samples = mod$sample( data = data_for_stan , chains = parallel_chains , parallel_chains = parallel_chains , refresh = 0 , show_messages = F , seed = seed+1 , iter_warmup = 0 , adapt_engaged = FALSE , inv_metric = warmup$inv_metric(matrix=F) , step_size = warmup$metadata()$step_size_adaptation , iter_sampling = iter_sample , init = get_inits )

Noice! I won’t always be expecting this, but I love how quickly folks have been responding. Maybe we’re all working on the same problem, rn.

@jonah and @rok_cesnovar, the documentation for cmdstanr should be adjusted.

Yeah, been working on the composed warmup+sampling since last week (inc the bug I alerted you to in another thread). Ben Bales just now worked out why that bug was happening.

Thanks @charlesm93 and @mike-lawrence . will make an issue to fix doc.

Passing a different mass matrix for each chain in cmdstanr

Interfaces

mike-lawrence January 13, 2021, 10:27pm 8

FYI the bug was worked out, and I also posted some code that achieves things properly.

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Passing a different mass matrix for each chain in cmdstanr

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