Getting started with CmdStanR

Jonah Gabry and Rok Češnovar

Source: vignettes/cmdstanr.Rmd

Introduction

CmdStanR is a lightweight interface to Stan for R users (see CmdStanPy for Python) that provides an alternative to the traditional RStan interface. See the Comparison with RStan section later in this vignette for more details on how the two interfaces differ.

CmdStanR is not on CRAN yet, but the beta release can be installed by running the following command in R.

# we recommend running this is a fresh R session or restarting your current session
install.packages("cmdstanr", repos = c("https://mc-stan.org/r-packages/", getOption("repos")))

CmdStanR (the cmdstanr R package) can now be loaded like any other R package. We’ll also load the bayesplot and posterior packages to use later in examples.

Installing CmdStan

CmdStanR requires a working installation of CmdStan, the shell interface to Stan. If you don’t have CmdStan installed then CmdStanR can install it for you, assuming you have a suitable C++ toolchain. The requirements are described in the CmdStan Guide:

To double check that your toolchain is set up properly you can call the check_cmdstan_toolchain() function:

The C++ toolchain required for CmdStan is setup properly!

If your toolchain is configured correctly then CmdStan can be installed by calling the install_cmdstan() function:

install_cmdstan(cores = 2)

Before CmdStanR can be used it needs to know where the CmdStan installation is located. When the package is loaded it tries to help automate this to avoid having to manually set the path every session:

  1. If the environment variable "CMDSTAN" exists at load time then its value will be automatically set as the default path to CmdStan for the R session. This is useful if your CmdStan installation is not located in the default directory that would have been used by install_cmdstan() (see #2).

  2. If no environment variable is found when loaded but any directory in the form ".cmdstan/cmdstan-[version]", for example ".cmdstan/cmdstan-2.23.0", exists in the user’s home directory (Sys.getenv("HOME"), not the current working directory) then the path to the CmdStan with the largest version number will be set as the path to CmdStan for the R session. This is the same as the default directory that install_cmdstan() uses to install the latest version of CmdStan, so if that’s how you installed CmdStan you shouldn’t need to manually set the path to CmdStan when loading CmdStanR.

If neither of these applies (or you want to subsequently change the path) you can use the set_cmdstan_path() function:

set_cmdstan_path(PATH_TO_CMDSTAN)

To check the path to the CmdStan installation and the CmdStan version number you can use cmdstan_path() and cmdstan_version():

[1] "/Users/jgabry/.cmdstan/cmdstan-2.29.1"
[1] "2.29.1"

Compiling a model

The cmdstan_model() function creates a new CmdStanModel object from a file containing a Stan program. Under the hood, CmdStan is called to translate a Stan program to C++ and create a compiled executable. Here we’ll use the example Stan program that comes with the CmdStan installation:

file <- file.path(cmdstan_path(), "examples", "bernoulli", "bernoulli.stan")
mod <- cmdstan_model(file)

The object mod is an R6 reference object of class CmdStanModel and behaves similarly to R’s reference class objects and those in object oriented programming languages. Methods are accessed using the $ operator. This design choice allows for CmdStanR and CmdStanPy to provide a similar user experience and share many implementation details.

The Stan program can be printed using the $print() method:

mod$print()
data {
  int<lower=0> N;
  array[N] int<lower=0,upper=1> y; // or int<lower=0,upper=1> y[N];
}
parameters {
  real<lower=0,upper=1> theta;
}
model {
  theta ~ beta(1,1);  // uniform prior on interval 0,1
  y ~ bernoulli(theta);
}

The path to the compiled executable is returned by the $exe_file() method:

mod$exe_file()
[1] "/Users/jgabry/.cmdstan/cmdstan-2.29.1/examples/bernoulli/bernoulli"

Running MCMC

The $sample() method for CmdStanModel objects runs Stan’s default MCMC algorithm. The data argument accepts a named list of R objects (like for RStan) or a path to a data file compatible with CmdStan (JSON or R dump).

# names correspond to the data block in the Stan program
data_list <- list(N = 10, y = c(0,1,0,0,0,0,0,0,0,1))

fit <- mod$sample(
  data = data_list, 
  seed = 123, 
  chains = 4, 
  parallel_chains = 4,
  refresh = 500 # print update every 500 iters
)
Running MCMC with 4 parallel chains...

Chain 1 Iteration:    1 / 2000 [  0%]  (Warmup) 
Chain 1 Iteration:  500 / 2000 [ 25%]  (Warmup) 
Chain 1 Iteration: 1000 / 2000 [ 50%]  (Warmup) 
Chain 1 Iteration: 1001 / 2000 [ 50%]  (Sampling) 
Chain 1 Iteration: 1500 / 2000 [ 75%]  (Sampling) 
Chain 1 Iteration: 2000 / 2000 [100%]  (Sampling) 
Chain 2 Iteration:    1 / 2000 [  0%]  (Warmup) 
Chain 2 Iteration:  500 / 2000 [ 25%]  (Warmup) 
Chain 2 Iteration: 1000 / 2000 [ 50%]  (Warmup) 
Chain 2 Iteration: 1001 / 2000 [ 50%]  (Sampling) 
Chain 2 Iteration: 1500 / 2000 [ 75%]  (Sampling) 
Chain 2 Iteration: 2000 / 2000 [100%]  (Sampling) 
Chain 3 Iteration:    1 / 2000 [  0%]  (Warmup) 
Chain 3 Iteration:  500 / 2000 [ 25%]  (Warmup) 
Chain 3 Iteration: 1000 / 2000 [ 50%]  (Warmup) 
Chain 3 Iteration: 1001 / 2000 [ 50%]  (Sampling) 
Chain 3 Iteration: 1500 / 2000 [ 75%]  (Sampling) 
Chain 3 Iteration: 2000 / 2000 [100%]  (Sampling) 
Chain 4 Iteration:    1 / 2000 [  0%]  (Warmup) 
Chain 4 Iteration:  500 / 2000 [ 25%]  (Warmup) 
Chain 4 Iteration: 1000 / 2000 [ 50%]  (Warmup) 
Chain 4 Iteration: 1001 / 2000 [ 50%]  (Sampling) 
Chain 4 Iteration: 1500 / 2000 [ 75%]  (Sampling) 
Chain 4 Iteration: 2000 / 2000 [100%]  (Sampling) 
Chain 1 finished in 0.0 seconds.
Chain 2 finished in 0.0 seconds.
Chain 3 finished in 0.0 seconds.
Chain 4 finished in 0.0 seconds.

All 4 chains finished successfully.
Mean chain execution time: 0.0 seconds.
Total execution time: 0.3 seconds.

There are many more arguments that can be passed to the $sample() method. For details follow this link to its separate documentation page:

The $sample() method creates R6 CmdStanMCMC objects, which have many associated methods. Below we will demonstrate some of the most important methods. For a full list, follow this link to the CmdStanMCMC documentation:

Posterior summary statistics

Summaries from the posterior package

The $summary() method calls summarise_draws() from the posterior package. The first argument specifies the variables to summarize and any arguments after that are passed on to posterior::summarise_draws() to specify which summaries to compute, whether to use multiple cores, etc.

fit$summary()
# A tibble: 2 × 10
  variable   mean median    sd   mad      q5    q95  rhat ess_bulk ess_tail
  <chr>     <dbl>  <dbl> <dbl> <dbl>   <dbl>  <dbl> <dbl>    <dbl>    <dbl>
1 lp__     -7.27  -7.00  0.709 0.344 -8.70   -6.75   1.00    1852.    2114.
2 theta     0.247  0.232 0.119 0.123  0.0804  0.466  1.00    1611.    1678.
fit$summary(variables = c("theta", "lp__"), "mean", "sd")
# A tibble: 2 × 3
  variable   mean    sd
  <chr>     <dbl> <dbl>
1 theta     0.247 0.119
2 lp__     -7.27  0.709
# use a formula to summarize arbitrary functions, e.g. Pr(theta <= 0.5)
fit$summary("theta", pr_lt_half = ~ mean(. <= 0.5))
# A tibble: 1 × 2
  variable pr_lt_half
  <chr>         <dbl>
1 theta         0.969

CmdStan’s stansummary utility

CmdStan itself provides a stansummary utility that can be called using the $cmdstan_summary() method. This method will print summaries but won’t return anything.

Posterior draws

Extracting draws

The $draws() method can be used to extract the posterior draws in formats provided by the posterior package. Here we demonstrate only the draws_array and draws_df formats, but the posterior package supports other useful formats as well.

# default is a 3-D draws_array object from the posterior package
# iterations x chains x variables
draws_arr <- fit$draws() # or format="array"
str(draws_arr)
 'draws_array' num [1:1000, 1:4, 1:2] -6.78 -6.9 -7.05 -6.85 -6.75 ...
 - attr(*, "dimnames")=List of 3
  ..$ iteration: chr [1:1000] "1" "2" "3" "4" ...
  ..$ chain    : chr [1:4] "1" "2" "3" "4"
  ..$ variable : chr [1:2] "lp__" "theta"
# draws x variables data frame
draws_df <- fit$draws(format = "df")
str(draws_df)
draws_df [4,000 × 5] (S3: draws_df/draws/tbl_df/tbl/data.frame)
 $ lp__      : num [1:4000] -6.78 -6.9 -7.05 -6.85 -6.75 ...
 $ theta     : num [1:4000] 0.284 0.186 0.162 0.196 0.252 ...
 $ .chain    : int [1:4000] 1 1 1 1 1 1 1 1 1 1 ...
 $ .iteration: int [1:4000] 1 2 3 4 5 6 7 8 9 10 ...
 $ .draw     : int [1:4000] 1 2 3 4 5 6 7 8 9 10 ...
print(draws_df)
# A draws_df: 1000 iterations, 4 chains, and 2 variables
   lp__ theta
1  -6.8  0.28
2  -6.9  0.19
3  -7.0  0.16
4  -6.9  0.20
5  -6.7  0.25
6  -7.1  0.36
7  -9.0  0.55
8  -7.2  0.15
9  -6.8  0.23
10 -7.5  0.42
# ... with 3990 more draws
# ... hidden reserved variables {'.chain', '.iteration', '.draw'}

To convert an existing draws object to a different format use the posterior::as_draws_*() functions.

# this should be identical to draws_df created via draws(format = "df")
draws_df_2 <- as_draws_df(draws_arr)
identical(draws_df, draws_df_2)
[1] TRUE

In general, converting to a different draws format in this way will be slower than just setting the appropriate format initially in the call to the $draws() method, but in most cases the speed difference will be minor.

Plotting draws

Plotting posterior distributions is as easy as passing the object returned by the $draws() method directly to plotting functions in our bayesplot package.

mcmc_hist(fit$draws("theta"))

Sampler diagnostics

Extracting diagnostic values for each iteration and chain

The $sampler_diagnostics() method extracts the values of the sampler parameters (treedepth__, divergent__, etc.) in formats supported by the posterior package. The default is as a 3-D array (iteration x chain x variable).

# this is a draws_array object from the posterior package
str(fit$sampler_diagnostics())
 'draws_array' num [1:1000, 1:4, 1:6] 1 2 2 2 2 1 1 1 1 2 ...
 - attr(*, "dimnames")=List of 3
  ..$ iteration: chr [1:1000] "1" "2" "3" "4" ...
  ..$ chain    : chr [1:4] "1" "2" "3" "4"
  ..$ variable : chr [1:6] "treedepth__" "divergent__" "energy__" "accept_stat__" ...
# this is a draws_df object from the posterior package
str(fit$sampler_diagnostics(format = "df"))
draws_df [4,000 × 9] (S3: draws_df/draws/tbl_df/tbl/data.frame)
 $ treedepth__  : num [1:4000] 1 2 2 2 2 1 1 1 1 2 ...
 $ divergent__  : num [1:4000] 0 0 0 0 0 0 0 0 0 0 ...
 $ energy__     : num [1:4000] 6.79 6.9 7.06 7 7.9 ...
 $ accept_stat__: num [1:4000] 0.996 0.984 0.988 1 0.835 ...
 $ stepsize__   : num [1:4000] 1.03 1.03 1.03 1.03 1.03 ...
 $ n_leapfrog__ : num [1:4000] 1 3 3 3 3 3 1 3 3 3 ...
 $ .chain       : int [1:4000] 1 1 1 1 1 1 1 1 1 1 ...
 $ .iteration   : int [1:4000] 1 2 3 4 5 6 7 8 9 10 ...
 $ .draw        : int [1:4000] 1 2 3 4 5 6 7 8 9 10 ...

Sampler diagnostic warnings and summaries

The $diagnostic_summary() method will display any sampler diagnostic warnings and return a summary of diagnostics for each chain.

fit$diagnostic_summary()
$num_divergent
[1] 0 0 0 0

$num_max_treedepth
[1] 0 0 0 0

$ebfmi
[1] 1.017555 1.250490 1.078559 1.237357

We see the number of divergences for each of the four chains, the number of times the maximum treedepth was hit for each chain, and the E-BFMI for each chain.

In this case there were no warnings, so in order to demonstrate the warning messages we’ll use one of the CmdStanR example models that suffers from divergences.

fit_with_warning <- cmdstanr_example("schools")
Warning: 76 of 4000 (2.0%) transitions ended with a divergence.
See https://mc-stan.org/misc/warnings for details.

After fitting there is a warning about divergences. We can also regenerate this warning message later using fit$diagnostic_summary().

diagnostics <- fit_with_warning$diagnostic_summary()
Warning: 76 of 4000 (2.0%) transitions ended with a divergence.
See https://mc-stan.org/misc/warnings for details.
print(diagnostics)
$num_divergent
[1] 22 19 33  2

$num_max_treedepth
[1] 0 0 0 0

$ebfmi
[1] 0.3826859 0.3953390 0.2349030 0.2268031
# number of divergences reported in warning is the sum of the per chain values
sum(diagnostics$num_divergent) 
[1] 76

CmdStan’s diagnose utility

CmdStan itself provides a diagnose utility that can be called using the $cmdstan_diagnose() method. This method will print warnings but won’t return anything.

Create a stanfit object

If you have RStan installed then it is also possible to create a stanfit object from the csv output files written by CmdStan. This can be done by using rstan::read_stan_csv() in combination with the $output_files() method of the CmdStanMCMC object. This is only needed if you want to fit a model with CmdStanR but already have a lot of post-processing code that assumes a stanfit object. Otherwise we recommend using the post-processing functionality provided by CmdStanR itself.

stanfit <- rstan::read_stan_csv(fit$output_files())

Running optimization and variational inference

CmdStanR also supports running Stan’s optimization algorithms and its algorithms for variational approximation of full Bayesian inference. These are run via the $optimize() and $variational() methods, which are called in a similar way to the $sample() method demonstrated above.

Optimization

We can find the (penalized) maximum likelihood estimate (MLE) using $optimize().

fit_mle <- mod$optimize(data = data_list, seed = 123) 
Initial log joint probability = -9.51104 
    Iter      log prob        ||dx||      ||grad||       alpha      alpha0  # evals  Notes  
       6      -5.00402   0.000103557   2.55661e-07           1           1        9    
Optimization terminated normally:  
  Convergence detected: relative gradient magnitude is below tolerance 
Finished in  0.1 seconds.
fit_mle$summary() # includes lp__ (log prob calculated by Stan program)
# A tibble: 2 × 2
  variable estimate
  <chr>       <dbl>
1 lp__        -5.00
2 theta        0.2 
fit_mle$mle("theta") 
theta 
  0.2

Here’s a plot comparing the penalized MLE to the posterior distribution of theta.

mcmc_hist(fit$draws("theta")) + 
  vline_at(fit_mle$mle("theta"), size = 1.5)

Variational Bayes

We can run Stan’s experimental variational Bayes algorithm (ADVI) using the $variational() method.

fit_vb <- mod$variational(data = data_list, seed = 123, output_samples = 4000) 
------------------------------------------------------------ 
EXPERIMENTAL ALGORITHM: 
  This procedure has not been thoroughly tested and may be unstable 
  or buggy. The interface is subject to change. 
------------------------------------------------------------ 
Gradient evaluation took 4e-06 seconds 
1000 transitions using 10 leapfrog steps per transition would take 0.04 seconds. 
Adjust your expectations accordingly! 
Begin eta adaptation. 
Iteration:   1 / 250 [  0%]  (Adaptation) 
Iteration:  50 / 250 [ 20%]  (Adaptation) 
Iteration: 100 / 250 [ 40%]  (Adaptation) 
Iteration: 150 / 250 [ 60%]  (Adaptation) 
Iteration: 200 / 250 [ 80%]  (Adaptation) 
Success! Found best value [eta = 1] earlier than expected. 
Begin stochastic gradient ascent. 
  iter             ELBO   delta_ELBO_mean   delta_ELBO_med   notes  
   100           -6.262             1.000            1.000 
   200           -6.263             0.500            1.000 
   300           -6.307             0.336            0.007   MEDIAN ELBO CONVERGED 
Drawing a sample of size 4000 from the approximate posterior...  
COMPLETED. 
Finished in  0.1 seconds.
fit_vb$summary("theta")
# A tibble: 1 × 7
  variable  mean median    sd   mad    q5   q95
  <chr>    <dbl>  <dbl> <dbl> <dbl> <dbl> <dbl>
1 theta    0.267  0.250 0.117 0.117 0.105 0.487

The $draws() method can be used to access the approximate posterior draws. Let’s extract the draws, make the same plot we made after MCMC, and compare the two. In this trivial example the distributions look quite similar, although the variational approximation slightly underestimates the posterior standard deviation.

mcmc_hist(fit$draws("theta"), binwidth = 0.025)
Posterior from MCMC

Posterior from MCMC 

mcmc_hist(fit_vb$draws("theta"), binwidth = 0.025)
Posterior from variational

Posterior from variational

For more details on the $optimize() and $variational() methods, follow these links to their documentation pages.

Saving fitted model objects

In order to save a fitted model object to disk and ensure that all of the contents are available when reading the object back into R, we recommend using the $save_object() method provided by CmdStanR. The reason for this is discussed in detail in the vignette How does CmdStanR work?, so here we just demonstrate how to use the method.

fit$save_object(file = "fit.RDS")

# can be read back in using readRDS
fit2 <- readRDS("fit.RDS")

Comparison with RStan

Different ways of interfacing with Stan’s C++

The RStan interface (rstan package) is an in-memory interface to Stan and relies on R packages like Rcpp and inline to call C++ code from R. On the other hand, the CmdStanR interface does not directly call any C++ code from R, instead relying on the CmdStan interface behind the scenes for compilation, running algorithms, and writing results to output files.

Advantages of RStan

Advantages of CmdStanR

  • Compatible with latest versions of Stan. Keeping up with Stan releases is complicated for RStan, often requiring non-trivial changes to the rstan package and new CRAN releases of both rstan and StanHeaders. With CmdStanR the latest improvements in Stan will be available from R immediately after updating CmdStan using cmdstanr::install_cmdstan().

  • Fewer installation issues (e.g., no need to mess with Makevars files).

  • Running Stan via external processes results in fewer unexpected crashes, especially in RStudio.

  • Less memory overhead.

  • More permissive license. RStan uses the GPL-3 license while the license for CmdStanR is BSD-3, which is a bit more permissive and is the same license used for CmdStan and the Stan C++ source code.

Additional resources

There are additional vignettes available that discuss other aspects of using CmdStanR. These can be found online at the CmdStanR website:

To ask a question please post on the Stan forums:

To report a bug, suggest a feature (including additions to these vignettes), or to start contributing to CmdStanR development (new contributors welcome!) please open an issue on GitHub: