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stan_pathfinder

stan_pathfinder.Rd

Estimate parameters using Stan's pathfinder algorithm

Usage

stan_pathfinder(
  fn,
  par_inits = NULL,
  n_pars = NULL,
  additional_args = list(),
  grad_fun = NULL,
  lower = -Inf,
  upper = Inf,
  eval_standalone = FALSE,
  globals = TRUE,
  packages = NULL,
  seed = NULL,
  refresh = NULL,
  quiet = FALSE,
  output_dir = NULL,
  output_basename = NULL,
  sig_figs = NULL,
  init_alpha = NULL,
  tol_obj = NULL,
  tol_rel_obj = NULL,
  tol_grad = NULL,
  tol_rel_grad = NULL,
  tol_param = NULL,
  history_size = NULL,
  num_psis_draws = NULL,
  num_paths = NULL,
  save_single_paths = NULL,
  max_lbfgs_iters = NULL,
  num_draws = NULL,
  num_elbo_draws = NULL
)

Arguments

fn

Function to estimate parameters for

par_inits

Initial values for parameters. This can either be a numeric vector of initial values (which will be used for all chains), a list of numeric vectors (of length equal to the number of chains), a function taking a single argument (the chain ID) and returning a numeric vector of initial values, or NULL (in which case Stan will generate initial values automatically). (must be specified if n_pars is NULL)

n_pars

Number of parameters to estimate (must be specified if par_inits is NULL)

additional_args

List of additional arguments to pass to the function

grad_fun

Function calculating gradients w.r.t. each parameter

lower

Lower bound constraint(s) for parameters

upper

Upper bound constraint(s) for parameters

eval_standalone

(logical) Whether to evaluate the function in a separate R session. Defaults to FALSE.

globals

(optional) a logical, a character vector, or a named list to control how globals are handled when evaluating functions in a separate R session. Ignored if eval_standalone = FALSE. For details, see section 'Globals used by future expressions' in the help for future::future().

packages

(optional) a character vector specifying packages to be attached in the R environment evaluating the function. Ignored if eval_standalone = FALSE.

seed

Random seed

refresh

Number of iterations for printing

quiet

(logical) Whether to suppress Stan's output

output_dir

Directory to store outputs

output_basename

Basename to use for output files

sig_figs

Number of significant digits to use for printing

init_alpha

(positive real) The initial step size parameter.

tol_obj

(positive real) Convergence tolerance on changes in objective function value.

tol_rel_obj

(positive real) Convergence tolerance on relative changes in objective function value.

tol_grad

(positive real) Convergence tolerance on the norm of the gradient.

tol_rel_grad

(positive real) Convergence tolerance on the relative norm of the gradient.

tol_param

(positive real) Convergence tolerance on changes in parameter value.

history_size

(positive integer) The size of the history used when approximating the Hessian.

num_psis_draws

(positive integer) Number PSIS draws to return.

num_paths

(positive integer) Number of single pathfinders to run.

save_single_paths

(logical) Whether to save the results of single pathfinder runs in multi-pathfinder.

max_lbfgs_iters

(positive integer) The maximum number of iterations for LBFGS.

num_draws

(positive integer) Number of draws to return after performing pareto smooted importance sampling (PSIS).

num_elbo_draws

(positive integer) Number of draws to make when calculating the ELBO of the approximation at each iteration of LBFGS.

Value

StanPathfinder object