saymrwulf/prophet
1
0
Fork 0
mirror of https://github.com/saymrwulf/prophet.git synced 2026-09-15 22:10:22 +00:00
Code Issues Projects Releases Packages Wiki Activity Actions

Speed up stan fitting by removing unecessary parameter definitions

Browse source
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
Show stats Download patch file Download diff file Expand all files Collapse all files

31
R/inst/stan/prophet.stan
View file

@ -102,21 +102,6 @@ parameters {
vector[K] beta; // Regressor coefficients 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 { model {
//priors //priors
k ~ normal(0, 5); k ~ normal(0, 5);
@ -126,5 +111,19 @@ model {
beta ~ normal(0, sigmas); beta ~ normal(0, sigmas);
// Likelihood // 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 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 { model {
//priors //priors
k ~ normal(0, 5); k ~ normal(0, 5);
@ -126,5 +111,19 @@ model {
beta ~ normal(0, sigmas); beta ~ normal(0, sigmas);
// Likelihood // 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
);
}
} }