Merge pull request #167 from fweber144/fix_mm_psis

Update normalizing constant of PSIS weights when moment matching
stan-dev · May 19, 2021 · 0117858 · 0117858
2 parents 582e18d + 150b2fb
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diff --git a/NEWS.md b/NEWS.md
@@ -2,6 +2,11 @@
 
 * Switch unit tests from Travis to GitHub Actions. (#164)
 
+### Bug fixes 
+
+* Fixed a bug causing the normalizing constant of the PSIS (log) weights not 
+to get updated when performing moment matching with `save_psis = TRUE` (#166, @fweber144).
+
 # loo 2.4.1
 
 * Fixed issue reported by CRAN where one of the vignettes errored on an M1 Mac

diff --git a/R/loo_moment_matching.R b/R/loo_moment_matching.R
@@ -151,6 +151,7 @@ loo_moment_match.default <- function(x, loo, post_draws, log_lik_i,
     }
   }
   if (!is.null(loo$psis_object)) {
+    attr(loo$psis_object, "norm_const_log") <- matrixStats::colLogSumExps(loo$psis_object$log_weights)
     loo$psis_object$diagnostics <- loo$diagnostics
   }
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         }
       }
       if (!is.null(loo$psis_object)) {
+        attr(loo$psis_object, "norm_const_log") <- matrixStats::colLogSumExps(loo$psis_object$log_weights)
         loo$psis_object$diagnostics <- loo$diagnostics
       }
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