I am getting familiar with PyStan. I have run several models including a Bayesian linear regression model without issue. However, when I try to run the following code I get a seg fault error:
Segmentation fault (core dumped)
Interestingly, this only occurs after the burn-in iterations have completed. My model code is here. I am currently making up some data and trying to infer the parameters beta_tru_1
and alpha
. The model code comes from the Stan User's Guide.
import pystan
import numpy as np
from scipy.stats import norm
# the params
beta_tru_1 = 3.7
alpha = 2.3
# make some data
n = 1000
np.random.seed(1)
x1 = norm(0, 1).rvs(n)
z = alpha + x1 * beta_tru_1
y = [1 if i > 0.7 else 0 for i in norm.cdf(z)]
# train test split
y_train, y_test = y[:750], y[750:]
x_train, x_test = x1[:750], x1[750:]
# stan code
probit_code = """
data {
int<lower=0> n; // number of data vectors
real x[n]; // data matrix
int<lower=0,upper=1> y[n]; // response vector
}
parameters {
real beta; // regression coefs
real alpha;
}
model {
for (i in 1:n)
y[i] ~ bernoulli(Phi(alpha + beta * x[i]));
}
"""
# compile the model
probit_model = pystan.StanModel(model_code=probit_code)
# the data
probit_dat = {
"n": len(y_train),
"y": y_train,
"x": x_train
}
# fit the model (small number of iterations for debug)
# this is where the error is
probit_fit = probit_model.sampling(data=probit_dat, iter=500, warmup=500, chains=4, init="0")
I am using PyStan v. 2.19.1.1 and python 3.7.6 on Linux Pop OS 20.10. I have run this code on multiple machines including an Ubuntu container with no luck. Any help is appreciated.
I was able to determine the cause of this error. The arguments I was using for the probit_model.sampling
parameters were causing a problem. Specifically, the iter
and warmups
parameter cannot be the same. The iter
parameter is the total number of iterations including the "burn-in" iterations specified through the warmup
parameter. Thus the inputs I was specifying caused probit_model.sampling
to perform the 500 burn-in iterations and then sampling was ceased rather than performing another 500 iterations for 1000 total HMC iterations.
The correct parameter setting for this behavior would be:
probit_model.sampling(data=probit_dat, iter=1000, warmup=500)
I have tested this solution, and it performs as intended. (Though this number of samples is not sufficient for valid inference in this problem.)