Print warning in ADVI if max number of iterations reached or ELBO is higher at at previous iteration

[dustinvtran]

Discussed in stan-dev. If the maximum number of iterations are reached, MAX ITERATIONS REACHED is currently printed. However, there should be more information, warning users that because the max number of iterations are reached, the optimization hasn't converged and thus one should be very careful about using samples from the output.

Same for the case when the ELBO is higher at a previous iteration that isn't the last. (can happen in SGD for nonconvex optimization).

[akucukelbir]

@dustinvtran should i take a shot at this in https://github.com/stan-dev/stan/tree/feature/advi-adapt-eta since i'll need to check for decreasing ELBO there? or do you want to tackle these separately?

[dustinvtran]

Since they’re minor fixes I think they can be in a different branch so that it is merged more quickly into develop.

On Aug 17, 2015, at 7:41 AM, Alp Kucukelbir notifications@github.com wrote:

@dustinvtran https://github.com/dustinvtran should i take a shot at this in https://github.com/stan-dev/stan/tree/feature/advi-adapt-eta https://github.com/stan-dev/stan/tree/feature/advi-adapt-eta since i'll need to check for decreasing ELBO there? or do you want to tackle these separately?

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Reply to this email directly or view it on GitHub #1588 (comment).

[akucukelbir]

in feature/advi-adapt-eta, i establish some scaffolding for tracking the ELBO. i just want to make sure we don't re-invent solutions for similar problems.

[dustinvtran]

Ah, I see what you mean. Then I’ll add the changes in your branch then. :-)

Dustin

On Aug 17, 2015, at 12:23 PM, Alp Kucukelbir notifications@github.com wrote:

in feature/advi-adapt-eta, i establish some scaffolding for tracking the ELBO. i just want to make sure we don't re-invent solutions for similar problems.

—
Reply to this email directly or view it on GitHub #1588 (comment).

[syclik]

Fixed in #1590.