Clamp Pareto-smoothed Pathfinder init weights at 0

R/args.R

@@ -1336,6 +1336,10 @@ process_init_approx <- function(init, num_procs, model_variables = NULL,
       exp(log_weights - max(log_weights)), tail = "right", r_eff = 1,
       return_k = FALSE, verbose = FALSE
     )
+    # posterior <= 1.7.1 can return weights of about -2e-16 when many weights
+    # underflow to 0. Remove this once the minimum posterior version includes
+    # stan-dev/posterior#468.
+    weights <- pmax(weights, 0)
   }
   if (num_candidates < nrow(draws_df)) {
     # Collapse duplicate candidates to one row, summing their weights so a vector

tests/testthat/test-fit-init.R

@@ -149,6 +149,40 @@ test_that("Pathfinder fit initializations use the intended weights", {
   expect_equal(pareto_smooth_calls, 2L)
 })
 
+test_that("Pathfinder init weights are not negative after Pareto smoothing", {
+  # Most log weights are far below the maximum, so exp() underflows to 0 for
+  # them. posterior::pareto_smooth() can then return weights of about -2e-16
+  # (posterior <= 1.7.1), which resample_draws() rejects. The mock gives those
+  # weights whatever the installed posterior version. Remove this test with
+  # the clamp once the minimum posterior version includes
+  # stan-dev/posterior#468.
+  lp <- c(-1000 - seq_len(350), -seq(0, 60, length.out = 50))
+  pathfinder_fit <- structure(
+    list(
+      draws = function(format) posterior::as_draws_df(data.frame(
+        theta = seq_along(lp),
+        lp__ = lp,
+        lp_approx__ = 0
+      )),
+      metadata = function() list(
+        num_paths = 10,
+        psis_resample = FALSE,
+        calculate_lp = TRUE
+      ),
+      return_codes = function() 0
+    ),
+    class = "CmdStanPathfinder"
+  )
+  local_mocked_bindings(
+    pareto_smooth = function(x, ...) x - 1e-16,
+    .package = "posterior"
+  )
+  local_mocked_bindings(process_init = function(init, ...) init)
+
+  inits <- process_init.CmdStanPathfinder(pathfinder_fit, 4)
+  expect_equal(posterior::ndraws(inits), 4)
+})
+
 test_that("Pathfinder init candidates are distinct target parameter vectors", {
   draws <- posterior::as_draws_df(data.frame(
     theta = c(1, 1, 2, 3),