Merge pull request #257 from stan-dev/fix_loo_moment_matching_p_loo

fix loo_moment_match p_loo computation
stan-dev · Mar 5, 2024 · bb3abb2 · bb3abb2
2 parents 7db551f + 2f3ca2c
commit bb3abb2
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diff --git a/R/loo_moment_matching.R b/R/loo_moment_matching.R
@@ -258,6 +258,7 @@ loo_moment_match_i <- function(i,
   dim(log_liki) <- c(S_per_chain, N_chains, 1)
   r_eff_i <- loo::relative_eff(exp(log_liki), cores = 1)
   dim(log_liki) <- NULL
+  lpd <- matrixStats::logSumExp(log_liki) - log(length(log_liki))
 
   is_obj <- suppressWarnings(importance_sampling.default(-log_liki,
                                                          method = is_method,
@@ -388,7 +389,6 @@ loo_moment_match_i <- function(i,
 
   # pointwise estimates
   elpd_loo_i <- matrixStats::logSumExp(log_liki + lwi)
-  lpd <- matrixStats::logSumExp(log_liki) - log(length(log_liki))
   mcse_elpd_loo <- mcse_elpd(
     ll = as.matrix(log_liki), lw = as.matrix(lwi),
     E_elpd = exp(elpd_loo_i), r_eff = r_eff_i

diff --git a/tests/testthat/reference-results/moment_match_loo_1.rds b/tests/testthat/reference-results/moment_match_loo_1.rds
diff --git a/tests/testthat/reference-results/moment_match_loo_2.rds b/tests/testthat/reference-results/moment_match_loo_2.rds
diff --git a/tests/testthat/reference-results/moment_match_loo_3.rds b/tests/testthat/reference-results/moment_match_loo_3.rds
diff --git a/tests/testthat/reference-results/moment_match_var_and_cov.rds b/tests/testthat/reference-results/moment_match_var_and_cov.rds