Tweaking SUG 11.3 ("Multivariate priors for Hierarchical Models")

The final optimized model is:

parameters {
  matrix[K, J] z;
  cholesky_factor_corr[K] L_Omega;
  vector<lower=0,upper=pi()/2>[K] tau_unif;
  matrix[L, K] gamma;                         // group coeffs
  real<lower=0> sigma;                       // prediction error scale
transformed parameters {
  matrix[J, K] beta;
  vector<lower=0>[K] tau;     // prior scale
  for (k in 1:K) tau[k] = 2.5 * tan(tau_unif[k]);
  beta = u * gamma + (diag_pre_multiply(tau,L_Omega) * z)';
model {
  to_vector(z) ~ std_normal();
  L_Omega ~ lkj_corr_cholesky(2);
  to_vector(gamma) ~ normal(0, 5);
  y ~ normal(rows_dot_product(beta[jj] , x), sigma);

That transpose in the creation of beta has always annoyed me. Partly because it’s easy to miss (solved if we update the docs to use transpose() instead), but also partly because it makes me lose track of the shape of things; it’s weird to have z as a K \times J matrix but beta is J \times K.

Isn’t it more straight-forward to do:

  matrix[J, K] z;
transformed parameters {
  beta = u * gamma + z*diag_post_multiply(L_Omega,tau) ;

Here’s some R code that (I think) proves it’s equivalent this way:

diag_pre_multiply = function(v,m){
diag_post_multiply = function(m,v){

K = 3
J = 5
tau = 1:K #K arbitrary values
L_Omega = matrix(1,ncol=K,nrow=K) #KxK matrix of arbitrary values

z = matrix(rnorm(K*J),nrow=K,ncol=J) #just some random data
tz = t(z) #transpose of z

#the current approach:
beta1 = t(diag_pre_multiply(v=tau,m=L_Omega) %*% z)

#mike's suggested alternate:
beta2 = tz %*% diag_post_multiply(m=L_Omega,v=tau)

#and they're equivalent:

Yeah this seems worthy of a PR/issue in the docs repo if you’re interested. Having not thought about it too deeply I could be missing a reason why it was coded the way it was, but my quick initial impression is that you’re right.

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Cool. I mostly wanted to double check that I hadn’t made an error and that there wasn’t any reason I hadn’t considered for the current version. I’ll edit the docs and submit a PR.