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Speed up stan fitting by removing unecessary parameter definitions

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This commit is contained in:
Ben Letham 2018-05-15 13:26:46 -07:00
parent 7c010aac51
commit 3bd372bc15
2 changed files with 30 additions and 32 deletions
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31
R/inst/stan/prophet.stan
View file

@ -102,21 +102,6 @@ parameters {
vector[K] beta; // Regressor coefficients
}
transformed parameters {
vector[T] trend;
vector[T] Xb_a;
vector[T] Xb_m;
if (trend_indicator == 0) {
trend = linear_trend(k, m, delta, t, A, t_change);
} else if (trend_indicator == 1) {
trend = logistic_trend(k, m, delta, t, cap, A, t_change, S);
}
Xb_a = X * (beta .* s_a);
Xb_m = X * (beta .* s_m);
}
model {
//priors
k ~ normal(0, 5);
@ -126,5 +111,19 @@ model {
beta ~ normal(0, sigmas);
// Likelihood
y ~ normal(trend .* (1 + Xb_m) + Xb_a, sigma_obs);
if (trend_indicator == 0) {
y ~ normal(
linear_trend(k, m, delta, t, A, t_change)
.* (1 + X * (beta .* s_m))
+ X * (beta .* s_a),
sigma_obs
);
} else if (trend_indicator == 1) {
y ~ normal(
logistic_trend(k, m, delta, t, cap, A, t_change, S)
.* (1 + X * (beta .* s_m))
+ X * (beta .* s_a),
sigma_obs
);
}
}

31
python/stan/unix/prophet.stan
View file

@ -102,21 +102,6 @@ parameters {
vector[K] beta; // Regressor coefficients
}
transformed parameters {
vector[T] trend;
vector[T] Xb_a;
vector[T] Xb_m;
if (trend_indicator == 0) {
trend = linear_trend(k, m, delta, t, A, t_change);
} else if (trend_indicator == 1) {
trend = logistic_trend(k, m, delta, t, cap, A, t_change, S);
}
Xb_a = X * (beta .* s_a);
Xb_m = X * (beta .* s_m);
}
model {
//priors
k ~ normal(0, 5);
@ -126,5 +111,19 @@ model {
beta ~ normal(0, sigmas);
// Likelihood
y ~ normal(trend .* (1 + Xb_m) + Xb_a, sigma_obs);
if (trend_indicator == 0) {
y ~ normal(
linear_trend(k, m, delta, t, A, t_change)
.* (1 + X * (beta .* s_m))
+ X * (beta .* s_a),
sigma_obs
);
} else if (trend_indicator == 1) {
y ~ normal(
logistic_trend(k, m, delta, t, cap, A, t_change, S)
.* (1 + X * (beta .* s_m))
+ X * (beta .* s_a),
sigma_obs
);
}
}