What is the purpose of rds file (example: regularized horseshoe prior)?

General
1

I have made the stan code for the regularized horseshoe prior:
// Regularized horseshoe by Piironen, Juho and Vehtari, Aki
// Paper: Sparsity information and regularization in the horseshoe and other shrinkage priors
// code is from https://betanalpha.github.io/assets/case_studies/bayes_sparse_regression.html

data {
int<lower=1> n; // Number of data
int<lower=1> p; // Number of covariates
matrix[n, p] X; // n-by-p design matrix
real y[n]; // n dimensional responses
real<lower=0> nu; //hyper-parameter
real<lower=0> s_sq; //hyper-parameter
}

transformed data {
real<lower=0> c_sq_shape = 0.5 * nu;
real<lower=0> c_sq_scale = 0.5 * nu / s_sq;
}

parameters {
vector[p] beta;
vector<lower=0>[p] lambda;
real<lower=0> c_sq;
real<lower=0> tau;
real<lower=0> sigma;
}

transformed parameters {
vector<lower=0>[p] lambda_tilde ;
lambda_tilde = sqrt( c_sq * square(lambda) ./ (c_sq + square(tau) * square(lambda)) );
}

model {
lambda ~ cauchy(0, 1);
tau ~ cauchy(0, 1);
c_sq ~ inv_gamma(c_sq_shape, c_sq_scale);
beta ~ normal(0, tau * lambda_tilde);
y ~ normal(X * beta, sigma);
}

If I run this, then automatically, reg_horseshoe.rds file is generated.
I don’t know why this rds file is generated.

Interesting thing is that for other stan file, it does not generate rds file.

2

That is a saved version of the compiled Stan program, which is created when you have previously called rstan_options(auto_write = TRUE).

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