 # Performance issues regarding hierarchical spatial quantile regression

Hi, first-time user here. I’m having performance issues with a hierarchical spatial quantile model application. In short, we have a two-level school-region hierarchical approach. At the region level, we use quantile regression, bringing information from the school level using a spatial autoregression.

I have already done simulations with 500 schools inside 90 regions, the model is correctly implemented. However, the real data have 2.500 schools and the estimated time for 1000 transitions with 10 leapfrogs would take 40.000-60.000 seconds. For comparison, the same model with 500 schools would take something about 500-2.000 seconds.

``````functions {
real g(real gamma) {
real gg;
gg = 2 * normal_cdf(-fabs(gamma),0,1) * exp(gamma^2 / 2);
return gg;
}
}

data {
int<lower=1> n; //total of counties
int<lower=1> m; //total of schools
int<lower=1> k; //total of counties covariates
int<lower=1> r; //total of school covariates
real L; // gamma lower bound
real U; // gamma upper bound
real<lower=0, upper=1> t0; //quantile of interest
vector[m] ys; // school response vector
matrix[m,n] H; // point matrix
matrix[m,r] G; // school design matrix
matrix[n,n] W; // proximity matrix
matrix[n,k] X; // county design matrix
}

transformed data {
matrix[n,n] I = diag_matrix(rep_vector(1, n)); // generic identity matrix
}

parameters {
vector[k] beta; // school regressors
vector[r] theta; // county regressors
real<lower=-1,upper=1> phi; // spatial parameter
real<lower=L,upper=U> gamma; // shape parameter
real<lower=0> sigma_c; // county variability
real<lower=0> sigma_s; // school variability
vector<lower=0>[m] v; // latent variable
vector<lower=0>[m] z; // latent variable
}

transformed parameters {
real<lower=0,upper=1> t; // quantile
real a;
real<lower=0> b;
real c;

t =  (gamma<0) + (t0-(gamma<0))/g(gamma);
a = (1 - 2 * t) / (t * (1 - t));
b = 2 / (t * (1 - t));
c = pow((gamma>0)-t,-1);
}

model {
matrix[m,n] D = H*inverse(I - phi * W);  //spatial multiplier
vector[m]   Mu = D*X*beta + G*theta + a*v + sigma_s*c*fabs(gamma)*z;   //multivariate normal likelihood vector of means
matrix[m,m] Sigma = sigma_c*D*D' + b*sigma_s*diag_matrix(v); //multivariate normal likelihood covariance matrix

z ~ normal(0,1);  // latent variable prior
v ~ exponential(pow(sigma_s, -1)); //latent variable prior
ys ~ multi_normal(Mu, Sigma); //likelihood
beta ~ normal(0,100);  //beta prior
theta ~ normal(0,100);  //theta prior
phi ~ uniform(-1,1);  //phi prior
sigma_s ~ cauchy(0,100);  //school sigma prior
sigma_c ~ cauchy(0,100);   //county sigma prior
gamma ~ student_t(1,0,1);  // shape prior
}
``````

To me, it seems that the extensive usage of matrices is somewhat expensive. However, that’s how the model is constructed, using a multivariate normal distribution as likelihood function. Another situation is that the parameters sigma_s and gamma are heavily correlated, according to the literature.

Is there some good practice to speed up things that I’m missing here?

I will really appreciate any kind of help!

Thanks.