Warn when step size falls below a given threshold in adaptation?

[alashworth]

Issue by betanalpha Monday Apr 03, 2017 at 20:58 GMT Originally opened as https://github.com/stan-dev/stan/issues/2261

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Description:

Currently adaption makes no attempt to warn the user when the step size falls to extremely small values. Technically such small values are okay and indicate an intermediate state where the sampler is trying to adapt to a posterior with a poorly-posed covariance. Because those models are not ideal, however, it may be useful to warn the user. Additionally, inaccurate gradients also force the adaptation to extremely small step sizes.

A somewhat-informative warning can be displayed to users, but when should it be displayed?

• Anytime that the step size adaptation falls below a threshold? This has the advantage of warning the user quickly, but also will dump a ton of output.
• Anytime the step size adaptation transitions from above the threshold to below? This reduces the output but also doesn't display any warnings when adaptation terminates.
• At the end of each adaptation window? This doesn't warn the user early but it does remind them towards to the end of adaptation.

Current Version:

v2.14.0

[alashworth]

Comment by sakrejda Monday Apr 03, 2017 at 21:05 GMT

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If we allow users to set the threshold reporting when it falls below the threshold at each iteration seems like the best. Almost an aside: could we detect and distinguish the two sources of low step size? I think the answer is yes and it would be useful to report but I doubt we could do it reliably.

[alashworth]

Comment by wds15 Wednesday Apr 05, 2017 at 14:02 GMT

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Making it configurable as suggested is certainly nice. Among the three options you present I would opt for the second one; reporting when it transitions across the threshold.