I’m writing to notify the Stan developers and broader community about a new NUTS variant that may be of interest. This is a follow up to @Bob_Carpenter 's recent blog post with a reprex and some more details. The basic idea is to precondition (i.e., decorrelate and descale) the posterior using spars…

@monnahc Good point about the logp, I’ll run that tomorrow. @Bob_Carpenter The post I linked above had an example of how to use the ZeroSumNormal strictly as a reparametrization. If we just write the effect as a normal distribution effect ~ normal(0, sigma), we measure the effect size relative to …

@aseyboldt If you send me an updated script with logp tracked I can run on my end and update the benchmark. Note that SNUTS can deal with correlations/scales caused by other things too. For instance the ‘kilpisjarvi’ model in posteriordb has three parameters (and is not hierarchical) but has a max …

Sorry, I was traveling for a few days. Here is the updated plot that includes the lp ess (script attached) [snuts_vs_stan_vs_nutpie_glmm] I’d also be interested to see what this looks like for more models. I would expect nutpie to do decently well in low dim problems, but as the dimensionality i…

Thanks for doing it, it’s much clearer now. It motivates me to keep working on minimizing the overhead of SNUTS. I also thought about adding compile time, which doesn’t exist for RTMB. In low dimensions compiling often takes longer than sampling so in that sense SNUTS would do very well too. Do you…

Not sure if this of any help, but any models in particular you are looking for? I think if this is particularly applicable to hierarchical models, it might be easy to just generate a bunch of stan code for hierarchical (multilevel models) using brms to test, to see what happens. This might be fast. …

SNUTS can’t simply run all models in posteriordb, because it needs extra information that’s not directly visible from a stan model, so it needs some recoding. But apart from that concrete question, I think it would be incredibly valuable to add more models to posteriordb. It has a lot of small mode…

Probably easy to add, lots of models, I think no one has uploaded any models. I’m not funded to do this, but I’m working on C++, this is more beneficial for my skills and career. Contributed to posteriordb is just annoying, and would require me re-running data simulations so that the models could ru…

Stan doesn’t have the sparse machinery of TMB so it does require recoding so we can’t just grab brms models. One thing we could try is to use a TMB GLMM package (glmmTMB) to approximate brms, but the parameterizations and priors would be different so that’s tough too. One of the points of this threa…

Yeah, I’m not funded so research so I’m just working on C++ right now, but if anyone wants to add the models I made a PR on posterioDB, I can make a google drive which should have all the R files generating data. Cole, I’m not seeing these scripts on posterior DB. But forgetting software dev, if y…

I put the RTMB code up just to demonstrate what porting a model looks like. It’s not too hard if it only uses basic functionality. I forgot to attach the links for diamonds and kilpisjarvi . I see what you’re saying. But we don’t need to contrive sparsity like this. It arises naturally in hierarchic…

Sparse NUTS: preconditioning with sparse matrix operations

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Sparse NUTS: preconditioning with sparse matrix operations

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