Improve error message for initialization failures with troubleshootin…

src/mcmc/hmc.jl

@@ -170,7 +170,7 @@ function find_initial_params(
 
     # if we failed to find valid initial parameters, error
     return error(
-        "failed to find valid initial parameters in $(max_attempts) tries. This may indicate an error with the model or AD backend; please open an issue at https://github.com/TuringLang/Turing.jl/issues",
+        "failed to find valid initial parameters in $(max_attempts) tries. See https://turinglang.org/docs/uri/initial-parameters for common causes and solutions. If the issue persists, please open an issue at https://github.com/TuringLang/Turing.jl/issues",
     )
 end
 

test/mcmc/hmc.jl

@@ -259,6 +259,20 @@ using Turing
             @test Turing.Inference.getstepsize(spl, hmc_state) isa Float64
         end
     end
+
+    @testset "improved error message for initialization failures" begin
+        # Model that always fails to initialize
+        @model function failing_model()
+            x ~ Normal()
+            @addlogprob! -Inf
+        end
+
+        # Test that error message includes troubleshooting link
+        @test_throws ErrorException sample(failing_model(), NUTS(), 10; progress=false)
+        @test_throws "https://turinglang.org/docs/uri/initial-parameters" sample(
+            failing_model(), NUTS(), 10; progress=false
+        )
+    end
 end
 
 end