Computes log marginal likelihood via bridge sampling,
which can be used in the computation of bayes factors
and posterior model probabilities.
The brmsfit method is just a thin wrapper around
the corresponding method for stanfit objects.
Arguments
- samples
A
brmsfitobject.- recompile
Logical, indicating whether the Stan model should be recompiled. This may be necessary if you are running bridge sampling on another machine than the one used to fit the model. No recompilation is done by default.
- ...
Additional arguments passed to
bridge_sampler.stanfit.
Details
Computing the marginal likelihood requires samples of all variables
defined in Stan's parameters block to be saved. Otherwise
bridge_sampler cannot be computed. Thus, please set save_pars
= save_pars(all = TRUE) in the call to brm, if you are planning to
apply bridge_sampler to your models.
The computation of marginal likelihoods based on bridge sampling requires
a lot more posterior draws than usual. A good conservative
rule of thump is perhaps 10-fold more draws (read: the default of 4000
draws may not be enough in many cases). If not enough posterior
draws are provided, the bridge sampling algorithm tends to be
unstable leading to considerably different results each time it is run.
We thus recommend running bridge_sampler
multiple times to check the stability of the results.
More details are provided under
bridgesampling::bridge_sampler.
Examples
# \dontrun{
# model with the treatment effect
fit1 <- brm(
count ~ zAge + zBase + Trt,
data = epilepsy, family = negbinomial(),
prior = prior(normal(0, 1), class = b),
save_pars = save_pars(all = TRUE)
)
#> Compiling Stan program...
#> Start sampling
#>
#> SAMPLING FOR MODEL 'anon_model' NOW (CHAIN 1).
#> Chain 1:
#> Chain 1: Gradient evaluation took 3.3e-05 seconds
#> Chain 1: 1000 transitions using 10 leapfrog steps per transition would take 0.33 seconds.
#> Chain 1: Adjust your expectations accordingly!
#> Chain 1:
#> Chain 1:
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#> Chain 1:
#> Chain 1: Elapsed Time: 0.122 seconds (Warm-up)
#> Chain 1: 0.121 seconds (Sampling)
#> Chain 1: 0.243 seconds (Total)
#> Chain 1:
#>
#> SAMPLING FOR MODEL 'anon_model' NOW (CHAIN 2).
#> Chain 2:
#> Chain 2: Gradient evaluation took 2.2e-05 seconds
#> Chain 2: 1000 transitions using 10 leapfrog steps per transition would take 0.22 seconds.
#> Chain 2: Adjust your expectations accordingly!
#> Chain 2:
#> Chain 2:
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#> Chain 2:
#> Chain 2: Elapsed Time: 0.123 seconds (Warm-up)
#> Chain 2: 0.124 seconds (Sampling)
#> Chain 2: 0.247 seconds (Total)
#> Chain 2:
#>
#> SAMPLING FOR MODEL 'anon_model' NOW (CHAIN 3).
#> Chain 3:
#> Chain 3: Gradient evaluation took 5.4e-05 seconds
#> Chain 3: 1000 transitions using 10 leapfrog steps per transition would take 0.54 seconds.
#> Chain 3: Adjust your expectations accordingly!
#> Chain 3:
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#> Chain 3:
#> Chain 3: Elapsed Time: 0.13 seconds (Warm-up)
#> Chain 3: 0.128 seconds (Sampling)
#> Chain 3: 0.258 seconds (Total)
#> Chain 3:
#>
#> SAMPLING FOR MODEL 'anon_model' NOW (CHAIN 4).
#> Chain 4:
#> Chain 4: Gradient evaluation took 5e-05 seconds
#> Chain 4: 1000 transitions using 10 leapfrog steps per transition would take 0.5 seconds.
#> Chain 4: Adjust your expectations accordingly!
#> Chain 4:
#> Chain 4:
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#> Chain 4:
#> Chain 4: Elapsed Time: 0.124 seconds (Warm-up)
#> Chain 4: 0.131 seconds (Sampling)
#> Chain 4: 0.255 seconds (Total)
#> Chain 4:
summary(fit1)
#> Family: negbinomial
#> Links: mu = log
#> Formula: count ~ zAge + zBase + Trt
#> Data: epilepsy (Number of observations: 236)
#> Draws: 4 chains, each with iter = 2000; warmup = 1000; thin = 1;
#> total post-warmup draws = 4000
#>
#> Regression Coefficients:
#> Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
#> Intercept 1.89 0.07 1.75 2.04 1.00 4575 3273
#> zAge 0.11 0.05 0.01 0.21 1.00 4323 3277
#> zBase 0.72 0.06 0.61 0.83 1.00 4440 2896
#> Trt1 -0.18 0.10 -0.38 0.01 1.00 4687 3171
#>
#> Further Distributional Parameters:
#> Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
#> shape 2.36 0.32 1.80 3.07 1.00 4758 2933
#>
#> Draws were sampled using sampling(NUTS). For each parameter, Bulk_ESS
#> and Tail_ESS are effective sample size measures, and Rhat is the potential
#> scale reduction factor on split chains (at convergence, Rhat = 1).
bridge_sampler(fit1)
#> Iteration: 1
#> Iteration: 2
#> Iteration: 3
#> Iteration: 4
#> Bridge sampling estimate of the log marginal likelihood: -672.2959
#> Estimate obtained in 4 iteration(s) via method "normal".
# model without the treatment effect
fit2 <- brm(
count ~ zAge + zBase,
data = epilepsy, family = negbinomial(),
prior = prior(normal(0, 1), class = b),
save_pars = save_pars(all = TRUE)
)
#> Compiling Stan program...
#> Start sampling
#>
#> SAMPLING FOR MODEL 'anon_model' NOW (CHAIN 1).
#> Chain 1:
#> Chain 1: Gradient evaluation took 2.8e-05 seconds
#> Chain 1: 1000 transitions using 10 leapfrog steps per transition would take 0.28 seconds.
#> Chain 1: Adjust your expectations accordingly!
#> Chain 1:
#> Chain 1:
#> Chain 1: Iteration: 1 / 2000 [ 0%] (Warmup)
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#> Chain 1:
#> Chain 1: Elapsed Time: 0.119 seconds (Warm-up)
#> Chain 1: 0.129 seconds (Sampling)
#> Chain 1: 0.248 seconds (Total)
#> Chain 1:
#>
#> SAMPLING FOR MODEL 'anon_model' NOW (CHAIN 2).
#> Chain 2:
#> Chain 2: Gradient evaluation took 2.4e-05 seconds
#> Chain 2: 1000 transitions using 10 leapfrog steps per transition would take 0.24 seconds.
#> Chain 2: Adjust your expectations accordingly!
#> Chain 2:
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#> Chain 2:
#> Chain 2: Elapsed Time: 0.117 seconds (Warm-up)
#> Chain 2: 0.122 seconds (Sampling)
#> Chain 2: 0.239 seconds (Total)
#> Chain 2:
#>
#> SAMPLING FOR MODEL 'anon_model' NOW (CHAIN 3).
#> Chain 3:
#> Chain 3: Gradient evaluation took 2.3e-05 seconds
#> Chain 3: 1000 transitions using 10 leapfrog steps per transition would take 0.23 seconds.
#> Chain 3: Adjust your expectations accordingly!
#> Chain 3:
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#> Chain 3:
#> Chain 3: Elapsed Time: 0.107 seconds (Warm-up)
#> Chain 3: 0.111 seconds (Sampling)
#> Chain 3: 0.218 seconds (Total)
#> Chain 3:
#>
#> SAMPLING FOR MODEL 'anon_model' NOW (CHAIN 4).
#> Chain 4:
#> Chain 4: Gradient evaluation took 2.5e-05 seconds
#> Chain 4: 1000 transitions using 10 leapfrog steps per transition would take 0.25 seconds.
#> Chain 4: Adjust your expectations accordingly!
#> Chain 4:
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#> Chain 4:
#> Chain 4: Elapsed Time: 0.116 seconds (Warm-up)
#> Chain 4: 0.119 seconds (Sampling)
#> Chain 4: 0.235 seconds (Total)
#> Chain 4:
summary(fit2)
#> Family: negbinomial
#> Links: mu = log
#> Formula: count ~ zAge + zBase
#> Data: epilepsy (Number of observations: 236)
#> Draws: 4 chains, each with iter = 2000; warmup = 1000; thin = 1;
#> total post-warmup draws = 4000
#>
#> Regression Coefficients:
#> Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
#> Intercept 1.80 0.05 1.70 1.90 1.00 4424 3235
#> zAge 0.13 0.05 0.02 0.23 1.00 4412 3112
#> zBase 0.72 0.06 0.62 0.84 1.00 5170 3167
#>
#> Further Distributional Parameters:
#> Estimate Est.Error l-95% CI u-95% CI Rhat Bulk_ESS Tail_ESS
#> shape 2.32 0.31 1.77 2.99 1.00 4495 3086
#>
#> Draws were sampled using sampling(NUTS). For each parameter, Bulk_ESS
#> and Tail_ESS are effective sample size measures, and Rhat is the potential
#> scale reduction factor on split chains (at convergence, Rhat = 1).
bridge_sampler(fit2)
#> Iteration: 1
#> Iteration: 2
#> Iteration: 3
#> Iteration: 4
#> Iteration: 5
#> Bridge sampling estimate of the log marginal likelihood: -671.6812
#> Estimate obtained in 5 iteration(s) via method "normal".
# }