Problem with user-defined functions with Rstan

Interfaces RStan
1

I’m seeing a strange problem with rstan where a model compiles from Stan to C++ just fine, but then I get a compiler error when the generated C++ is compiled. I have the following user-defined function in the functions block:

  matrix constrainsgn(matrix b, int[] idxpos, int[] idxneg, int xform, real s) {
    ...
  }

Then in the transformed parameters block I have

  matrix[nresp, ncov] t_beta =
    constrainsgn(rep_matrix(t_alpha, nresp) +  t_z_beta * Lbeta', idxpos, idxneg, xform, s);

I get the following C++ compiler error:

Error in compileCode(f, code, language = language, verbose = verbose) : 
      ^file10aabec826b9.cpp:153:1: note: candidate template ignored: could not match 0 against 1constrainsgn(const Eigen::Matrix<T0__, Eigen::Dynamic, Eigen::Dynamic>& b,^72 warnings and 5 errors generated.make: *** [file10aabec826b9.o] Error 1

The problem goes away if I replace that transformed parameters definition with these two lines:

  matrix[nresp, ncov] tmp = rep_matrix(t_alpha, nresp) +  t_z_beta * Lbeta';
  matrix[nresp, ncov] t_beta = constrainsgn(tmp, idxpos, idxneg, xform, s);

Any idea what’s going on here?

The above workaround doesn’t really solve my problem, as I have a model already fit with cmdstanr, and wanted access to rstan’s built in loo moment matching method (which cmdstanr lacks). The plan was to create a stanfit object from the CmdStan output files, but that won’t work if I have to modify the Stan model to have an additional transformed parameter that was not present during model estimation.

2

I’m not sure what’s going on with the compiler error, but we did just release a cmdstanr that let’s you do moment matching with loo. This won’t help you with your existing fitted model object, but in the future you can use fit$loo(moment_match = TRUE).

It’s also possible that a similar compiler error would happen when cmdstanr has to compile the additional methods needed for loo with moment matching. It’s a very new feature so if you try it and run into trouble definitely let us know, there are likely still kinks to work out.