Hello everyone. I am pretty new at bayesian inference, stan, and I do not know every feature of the stan. When I worked with large models, run time can be excessively long for higher iterations. So, I want to start with a small iteration and resume to sample if chains do not mix. Is it possible in s…

Based on a thread from several years ago , you can continue sampling in cmdstan. I don’t know whether it is possible with rstan.

You can also restart with cmdstanr (painful due to lack of structured extract, but you can bring in RStan to do the extracting) and more easily with CmdStanPy. The main drawback to restarting sampling is that you may need more warmup iterations. So what I’ve done in the past is start with somethin…

[image] Bob_Carpenter: The main drawback to restarting sampling is that you may need more warmup iterations. So what I’ve done in the past is start with something like 100 warmup, 100 sampling iterations, then keep doubling both those and re-running until you hit target ESS. Is that a typo? M…

[image] Raoul-Kima: Is that a typo? Maybe you meant “the main drawback to not restarting sampling”? Sorry it wasn’t clear. By “sampling”, I mean the sampling stage of our two stage process consisting of warmup followed by sampling. I meant there can be problems if you just restart sampling …

Really? Even if you have the mass matrix, step size & init from the last sample?

[image] Bob_Carpenter: I meant there can be problems if you just restart sampling and don’t run more warmup. [image] mike-lawrence: Really? Even if you have the mass matrix, step size & init from the last sample? Let me try to be more clear. If warmup has converged (in terms of step s…

Resume to Sample

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mike-lawrence February 17, 2022, 7:56pm 4

If using cmdstanR, @Raoul-Kima just posted some helpful R code for resuming.

Topic		Replies	Views
Continue Warmup / Sampling after Interruption General	10	2939	July 31, 2022
Resume sampling after interuption Interfaces cmdstanpy	5	1445	May 12, 2020
Saving progress and sampling for more iterations General rstan , brms	1	1342	January 19, 2021
Running stan for a dynamic number of steps, depending on convergence parameters PyStan	9	1740	November 21, 2021
Can I restart an MCMC process from a previous one? brms	2	934	December 22, 2018

Resume to Sample

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