`RuntimeError: Initialization` failed for MVN Estimation

Modeling
1

I want to fit a MVN to my data in 4 dimensions. I will give N=10 samples to my program. The MVN is modelled using 4-parameter Normal-Wishart Distribution. read Bayesian Inference for the Multivariate Normal: https://www.fil.ion.ucl.ac.uk/~wpenny/publications/bmn.pdf.

The Normal-Wishart distribution has four parameters - mu_0, Sigma, nu, beta_0.

data {
    int<lower=0> N;
    vector[4] x[N];
}
parameters {
    vector[4] mu_0;
    real beta_0;
    real nu;
    vector[4] mu;
    cov_matrix[4] Sigma;
    cov_matrix[4] Omega;
}
model {
    Omega ~ wishart(nu, Sigma);
    mu ~ multi_normal(mu_0, beta_0 * Omega);
    for (n in 1:N)
        x[n] ~ multi_normal_prec(mu, Omega);
}

I run this via PyStan with:

mu = 10 * np.array([1, 2, 3, 4])
Omega = 3 * np.eye(4)

x = np.random.multivariate_normal(mu, Omega, size = 10)

# Put our data in a dictionary
data = {'N': len(x), 'x': x}

# Compile the model
sm = pystan.StanModel(model_code=model)

# Train the model and generate samples
fit = sm.sampling(data=data, iter=100, chains=2, warmup=5, thin=1, seed=101)

print(fit)

which constantly throws

INFO:pystan:COMPILING THE C++ CODE FOR MODEL anon_model_8bc181663e727aba88358a43cb3cb853 NOW.
---------------------------------------------------------------------------
RemoteTraceback                           Traceback (most recent call last)
RemoteTraceback: 
"""
Traceback (most recent call last):
  File "/home/myntra/anaconda3/envs/pytorch_p36/lib/python3.6/multiprocessing/pool.py", line 119, in worker
    result = (True, func(*args, **kwds))
  File "/home/myntra/anaconda3/envs/pytorch_p36/lib/python3.6/multiprocessing/pool.py", line 44, in mapstar
    return list(map(*args))
  File "stanfit4anon_model_8bc181663e727aba88358a43cb3cb853_7548108693669776004.pyx", line 371, in stanfit4anon_model_8bc181663e727aba88358a43cb3cb853_7548108693669776004._call_sampler_star
  File "stanfit4anon_model_8bc181663e727aba88358a43cb3cb853_7548108693669776004.pyx", line 404, in stanfit4anon_model_8bc181663e727aba88358a43cb3cb853_7548108693669776004._call_sampler
RuntimeError: Initialization failed.
"""

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

RuntimeError                              Traceback (most recent call last)
<ipython-input-19-bc8d52142265> in <module>()
     11 
     12 # Train the model and generate samples
---> 13 fit = sm.sampling(data=data, iter=100, chains=2, warmup=5, thin=1, seed=101)
     14 
     15 print(fit)

~/anaconda3/envs/pytorch_p36/lib/python3.6/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 

~/anaconda3/envs/pytorch_p36/lib/python3.6/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()

~/anaconda3/envs/pytorch_p36/lib/python3.6/multiprocessing/pool.py in map(self, func, iterable, chunksize)
    286         in a list that is returned.
    287         '''
--> 288         return self._map_async(func, iterable, mapstar, chunksize).get()
    289 
    290     def starmap(self, func, iterable, chunksize=None):

~/anaconda3/envs/pytorch_p36/lib/python3.6/multiprocessing/pool.py in get(self, timeout)
    668             return self._value
    669         else:
--> 670             raise self._value
    671 
    672     def _set(self, i, obj):

RuntimeError: Initialization failed.
2

I don’t see the Stan message in there so this might be PyStan specific (@ariddell?)