pystan.StanModel RuntimeError: Initialization failed when trying to fit

Modeling
1

For data part you can assume any random data which satisfies dimensions constraints
All i want to do for now is model should sample properly, which it isn’t.

(PS: Code is shown written below)

It is showing error :

RemoteTraceback Traceback (most recent call last)
RemoteTraceback:
“”"
Traceback (most recent call last):
File “/Library/Frameworks/Python.framework/Versions/3.7/lib/python3.7/multiprocessing/pool.py”, line 121, in worker
result = (True, func(*args, **kwds))
File “/Library/Frameworks/Python.framework/Versions/3.7/lib/python3.7/multiprocessing/pool.py”, line 44, in mapstar
return list(map(*args))
File “stanfit4dummy_model_84553e8202127efa9b9f2f6c6961ebe6_8664948722932070801.pyx”, line 371, in stanfit4dummy_model_84553e8202127efa9b9f2f6c6961ebe6_8664948722932070801._call_sampler_star
File “stanfit4dummy_model_84553e8202127efa9b9f2f6c6961ebe6_8664948722932070801.pyx”, line 404, in stanfit4dummy_model_84553e8202127efa9b9f2f6c6961ebe6_8664948722932070801._call_sampler
RuntimeError: Initialization failed.
“”"

The above exception was the direct cause of the following exception:

RuntimeError Traceback (most recent call last)
in
8 ‘demand’:demand_data[1]
9 }
—> 10 model_fit = model.sampling(data=data_dict, iter=1000, chains=4, warmup=750, n_jobs=-1, seed=42)

/Library/Frameworks/Python.framework/Versions/3.7/lib/python3.7/site-packages/pystan/model.py in sampling(self, data, pars, chains, iter, warmup, thin, seed, init, sample_file, diagnostic_file, verbose, algorithm, control, n_jobs, **kwargs)
776 call_sampler_args = izip(itertools.repeat(data), args_list, itertools.repeat(pars))
777 call_sampler_star = self.module._call_sampler_star
–> 778 ret_and_samples = _map_parallel(call_sampler_star, call_sampler_args, n_jobs)
779 samples = [smpl for _, smpl in ret_and_samples]
780

/Library/Frameworks/Python.framework/Versions/3.7/lib/python3.7/site-packages/pystan/model.py in _map_parallel(function, args, n_jobs)
83 try:
84 pool = multiprocessing.Pool(processes=n_jobs)
—> 85 map_result = pool.map(function, args)
86 finally:
87 pool.close()

/Library/Frameworks/Python.framework/Versions/3.7/lib/python3.7/multiprocessing/pool.py in map(self, func, iterable, chunksize)
288 in a list that is returned.
289 ‘’’
–> 290 return self._map_async(func, iterable, mapstar, chunksize).get()
291
292 def starmap(self, func, iterable, chunksize=None):

/Library/Frameworks/Python.framework/Versions/3.7/lib/python3.7/multiprocessing/pool.py in get(self, timeout)
681 return self._value
682 else:
–> 683 raise self._value
684
685 def _set(self, i, obj):

RuntimeError: Initialization failed.

data {
int<lower=1> N;  // N = 288
row_vector[N] cdd; // vector of 288 values
row_vector[N] gdp;
row_vector[N] prices;
row_vector[N] demand_1m_lagged;
row_vector[N] demand_1yr_lagged;
row_vector[N] demand;              // true value which i want to model
}
parameters {
real alpha;

vector[5] b;
vector[5] mu_beta;
cov_matrix[5] sigma_beta;

vector[12] e;
cov_matrix[12] sigma_e;

}

transformed parameters {
    row_vector[N] demand_hat;      //transformed model parameter
    row_vector[N] temp;
    for(i in 1:N) {
        temp[i] = cdd[i] * b[1] + gdp[i] * b[2] + prices[i] * b[3] + demand_1m_lagged[i] * b[4] + demand_1yr_lagged[i] * b[5];
        demand_hat[i] <- alpha + temp[i] + e[i%12+1];
    }
}
model {
    alpha ~ normal(0, 100);
    for (j in 1:5)
      mu_beta[j] ~ normal(0, 100);
    
    sigma_beta ~ inv_wishart(6, diag_matrix(rep_vector(0.0001,5)));
    
    sigma_e ~ inv_wishart(13, diag_matrix(rep_vector(0.0001,12)));
    e ~ multi_normal(rep_vector(0.0, 12), sigma_e);
    
    b ~ multi_normal(mu_beta, sigma_beta);
    
    demand ~ normal(demand_hat, 0); //how to incorporate error term, like sigma here already added up
}

model = pystan.model.StanModel(model_code=model_code, model_name='dummy_model')
data_dict = {
    'N':288,
    'cdd':cdd_data[1],
    'gdp':gdp_data[1],
    'prices':prices_data[1],
    'demand_1m_lagged':demand_1m_lagged_data[1],
    'demand_1yr_lagged':demand_1yr_lagged_data[1],
    'demand':demand_data[1]
}
model_fit = model.sampling(data=data_dict, iter=1000, chains=4, warmup=750, n_jobs=-1, seed=42)
2

I think it fails because of the last line where it’s normal(demand_hat, 0). The normal distribution needs a nonzero standard deviation.

Those noninformative priors for sigmas are going to be difficult to estimate. Can’t you just have independent gamma priors for e and b?

3

thank you for your observation, code actually ran after i changed standard deviation to a non zero value.

Earlier I had made the standard deviation 0, because I already added the error term here:

demand_hat[i] <- alpha + temp[i] + e[i%12+1];

(in transformed parameters block).

4

e repeats the same value exactly every year. You have 24 years and only 5 bs. If you ignore all data except the first month of each year, e would be constant (and therefore indistinguishable from alpha) and a model without additional error terms is overdetermined.

5

ohh! i get it now, i was trying to implement this paper, each of the variables described these distribution, i got the idea after going through the paper. i missed this subtle point, i am glad you pointed it out.