Merge pull request #3320 from stan-dev/fix/MAD-quantile-exceptions

Also catch exceptions in MAD calculation
stan-dev · Nov 29, 2024 · f4fb7cb · f4fb7cb
2 parents 42731ba + c4b2f2f
commit f4fb7cb
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diff --git a/src/stan/mcmc/chainset.hpp b/src/stan/mcmc/chainset.hpp
@@ -268,7 +268,11 @@ class chainset {
     auto center = median(index);
     Eigen::MatrixXd abs_dev = (draws.array() - center).abs();
     Eigen::Map<Eigen::VectorXd> map(abs_dev.data(), abs_dev.size());
-    return 1.4826 * stan::math::quantile(map, 0.5);
+    try {
+      return 1.4826 * stan::math::quantile(map, 0.5);
+    } catch (const std::logic_error& e) {
+      return std::numeric_limits<double>::quiet_NaN();
+    }
   }
 
   /**

diff --git a/src/test/unit/mcmc/chainset_test.cpp b/src/test/unit/mcmc/chainset_test.cpp
@@ -225,6 +225,9 @@ TEST_F(McmcChains, quantile_tests) {
     EXPECT_TRUE(std::isnan(stepsize_quantiles(i)));
   }
 
+  double stepsize_MAD = datagen_chains.med_abs_deviation("stepsize__");
+  EXPECT_TRUE(std::isnan(stepsize_MAD));
+
   Eigen::VectorXd bad_probs(3);
   bad_probs << 5, 50, 95;
   Eigen::VectorXd y_sim_quantiles