correlation matrix as transformed parameter inits OK, but is then rejected

[bob-carpenter]

Jo(h)n Smith reported the following issue on the mailing list.

// File: corr-init.stan

parameters {
  corr_matrix[100] Omega;
}
transformed parameters {
  corr_matrix[100] OmegaCopy;
  OmegaCopy <- Omega;
}
model {
}

This is still an issue in Stan 2, where running this:

./corr-init sample

produces a stream of errors of the form:

Informational Message: The current Metropolis proposal is about to be rejected becuase of the following issue:
Invalid value of OmegaCopy: Error in function validate transformed params N4stan5agrad3varE: yy is not positive definite. y(0,0) is 1:0.
If this warning occurs sporadically then the sampler is fine,
but if this warning occurs often then your model is either severely ill-conditioned or misspecified.
Rejecting proposed initial value with zero density.

and then finally dies with

Initialization between (-2, 2) failed after 100 attempts. 
 Try specifying initial values, reducing ranges of constrained values, or reparameterizing the model.

Maybe we can (a) initialize randomly a little better by shrinking to identity matrix, or (b) turn down the stringency of our positive-definiteness tests.

[syclik]

This issue still exists and I'm marking it as a bug.

[bob-carpenter]

It's definitely a bug in the way we're checking the
positive-definiteness constraints. I was hoping somebody who
knew more about matrix algebra than me would fix it.

• Bob

On 12/17/13, 11:08 PM, Daniel Lee wrote:

This issue still exists and I'm marking it as a bug.

[bob-carpenter]

Closed, with original issue merged into #256 where there were more comments.