NUTS sampling for TMB models using a sparse metric (BETA).

Usage

sample_snuts(
  obj,
  num_samples = 1000,
  num_warmup = NULL,
  chains = 4,
  cores = chains,
  thin = 1,
  adapt_stan_metric = NULL,
  control = NULL,
  seed = NULL,
  laplace = FALSE,
  init = c("last.par.best", "random", "random-t", "unif"),
  metric = c("auto", "unit", "diag", "dense", "sparse", "stan", "sparse-naive"),
  skip_optimization = FALSE,
  Q = NULL,
  Qinv = NULL,
  globals = NULL,
  model_name = NULL,
  refresh = NULL,
  print = TRUE,
  rotation_only = FALSE,
  iter = 2000,
  warmup = floor(iter/2),
  ...
)

Arguments

obj: The TMB object with random effects turned on and optimized.
num_samples: The number of post-warmup iterations to run per chain.
num_warmup: The number of warmup iterations to run per chain. The default of NULL indicates to automatically determine it based on other settings (recommended).
chains: Number of chains
cores: Number of parallel cores to use, defaults to chains so set this to 1 to execute serial chains.
thin: The thinning rate (defaults to 1).
adapt_stan_metric: A boolean whether Stan should engage diagonal mass matrix adaptation. The default of NULL indicates to automatically select depending on other settings. See details.
control: NUTS control list, currently available options are 'adapt_delta', 'max_treedepth', and 'metric' which is the type of metric adaptation for Stan to do with options ('unit_e', 'diag_e', or 'dense_e'). For dense and sparse metrics this usually can be 'unit_e' to skip adaptation. NULL values (default) revert to stan_sample defaults.
seed: Random number seed, used for generating initial values (if 'random") and for NUTS.
laplace: Whether to leave the Laplace approximation on and only use NUTS to sample the fixed effects, or turn it off and sample from the joint parameter space (default).
init: Either 'last.par.best' (default), 'random', 'random-t', or 'unif'. The former starts from the joint mode, while 'random' and 'random-t' draw from multivariate normal or multivariate t with 2 degrees of freedom distributions using the inverse joint precision matrix as a covariance matrix. 'random-t' is provided to allow for more dispersed initial values. 'unif' will draw U(-2,2) samples for all parameters, similar ot Stan's default behavior. If the joint NLL is undefined at the initial values then the model will exit and return the initial vector for further investigation by the user, if desired. Note that stan_sample only allows for the same init vector for all chains currently. If a seed is specified it will be set and thus the inits used will be reproducible. The inits are also returned in the 'inits' slot of the fitted object.
metric: A character specifying which metric to use. Defaults to "auto" which uses an algorithm to select the best metric (see details), otherwise one of "sparse", "dense", "diag", "unit", "Stan", or "sparse-naive" can be specified.
skip_optimization: Whether to skip optimization or not (default). If the model is already optimized and Q available these redundant steps can be skipped.
Q: The sparse precision matrix. It is calculated internally if not specified (default).
Qinv: The dense matrix \(Q^{-1}\). It is calculated internally if not specified (default).
globals: A named list of objects to pass to new R sessions when running in parallel and using RTMB. Typically this is the `data` object for now.
model_name: An optional character giving the model name. If NULL it will use the DLL name which for RTMB models is just 'RTMB'. The name is used only for printing.
refresh: How often to print updates to console (integer). 0 will turn off printing. The default is 100.
print: Whether to print summary of run (default) or not
rotation_only: Whether to return only the rotation object (for debugging purposes)
iter: (Deprecated) Total iterations to run (warmup + sampling)
warmup: (Deprecated) Total warmup iterations. Defaults to iter/2 based on Stan defaults, but when using dense, sparse, or diag metrics a much shorter warmup can be used (e.g., 150), especially if paired with a 'unit_e' Stan metric. Use plot_sampler_params to investigate warmup performance and adjust as necessary for subsequent runs.
...: Additional arguments to pass to StanEstimators::stan_sample.

Value

A fitted MCMC object of class 'adfit'

Details

The TMB metric is used to decorrelate and descale the posterior distribution before sampling with Stan's algorithms. The chosen metric and the reasoning for its selection are printed to the console before sampling begins.

Metric Options

'auto': This is the default setting. It uses an internal algorithm to determine the optimal metric for the model. The choice depends on the availability of the precision matrix (\(Q\)) and/or the covariance matrix (\(M=Q^{-1}\)), the extent of parameter correlations, and the speed of gradient calculations.
'dense' and 'sparse': Both of these options decorrelate and descale the posterior. However, the 'sparse' metric is more computationally efficient for models with high-dimensional, sparse precision matrices. For models without random effects the 'sparse' option is not available
'diag': This option only descales the posterior, using the marginal standard deviations derived from the covariance matrix \(M\). It does not account for correlations.
'unit': This option uses an identity matrix, which is the default behavior in Stan. Unlike the 'Stan' option below, the model is still optimized to find the mode, and the \(Q\) matrix is calculated. This ensures that a full mle object (containing the mode, standard errors, and correlations) is returned.
'sparse-naive': This metric is constructed to be mathematically equivalent to 'dense' but is often computationally faster. It is generally recommended only for testing and exploration.
'stan': This is a special flag that reverts the sampler to the standard Stan behavior. It skips the optimization and all \(Q\) matrix calculations and ensures that Stan's mass matrix adaptation is engaged during warmup.

Important Distinction

Note that the metric parameter described here is specific to TMB and is distinct from the Stan metric, which is controlled via the control list argument in the sampling function. Stan by default adapts a diagonal mass matrix (metric_e) using a series of expanding windows. If \(Q\) is a good estimate of the global precision then this is not needed and disabling Stan's metric adaptation is recommended. This can be done by setting `adapt_stan_metric=FALSE`. If left at NULL Stan's adaptation will only be done for metrics 'stan' and 'unit' because those two options do not descale the posterior. In this case, it is recommended to use a longer warmup period to account for this adaptive procedure.