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add documentation for Pathfinder method #648

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mitzimorris opened this issue Jul 6, 2023 · 3 comments · Fixed by #651
Closed

add documentation for Pathfinder method #648

mitzimorris opened this issue Jul 6, 2023 · 3 comments · Fixed by #651
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enhancement New feature or request

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@mitzimorris
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mitzimorris commented Jul 6, 2023

Summary:

Document the Pathfinder algorithm and how to invoke it via CmdStan.

Description:

The Pathfinder algorithm should be (briefly) described in the Stan Reference Manual and the CmdStan Guide should document the calling structure and output files.

Additional Information:

Pathfinder algorithm in Stan repo spec'd here: stan-dev/stan#3119, PR here: stan-dev/stan#3123

CmdStan calling interface PR here: stan-dev/cmdstan#1155

Current Version:

v2.32.0

@mitzimorris mitzimorris added the enhancement New feature or request label Jul 6, 2023
@mitzimorris mitzimorris self-assigned this Jul 6, 2023
@mitzimorris
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cf stan-dev/stan#3207

@mitzimorris
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question - @bob-carpenter

we need to describe the column headers in the pathfinder output.

lp_approx__,lp__,theta
-2.4973, -8.2951, 0.0811852
-0.87445, -7.06526, 0.160207
-0.812285, -7.07124, 0.35819

what is lp_approx__ and lp__ ?

reading pathfinder paper psuedo code - is lp_approx__ a draw from the draws from the ELBO-maximizing normal approximation? and lp__ is the LBFGS estimate (which uses a Taylor approximation)?

@bob-carpenter
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These should be:

  • lp_approx__: log density in the approximating distribution.

  • lp__: log density in the target distribution.

@WardBrian WardBrian linked a pull request Jul 21, 2023 that will close this issue
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