R Markdown CmdStan Engine

R Markdown supports a variety of languages through the use of knitr language engines. Where users wish to write Stan programs as chunks directly in R Markdown documents there are three options:

the user wishes all the Stan chunks in the R Markdown document to be processed using RStan;
all Stan chunks are to be processed using CmdStanR; and.
some chunks are to be processed by RStan and some by CmdStanR.

Behind the scenes in each option, the engine compiles the model code in each chunk and creates an object that provides methods to run the model: a stanmodel if Rstan is being used, or a CmdStanModel in the CmdStanR case. This model object is assigned to a variable with the name given by the output.var chunk option.

Option 1: Using RStan for all chunks

This is the default option. In that case we can write, for example:

```{stan, output.var="model"}
// Stan model code
```

```{r}
rstan::sampling(model)
```

Option 2: Using CmdStanR for all chunks

If CmdStanR is being used a replacement engine needs to be registered along the following lines:

library(cmdstanr)
register_knitr_engine(override = TRUE)

This overrides knitr’s built-in stan engine so that all stan chunks are processed with CmdStanR, not RStan. Of course, this also means that the variable specified by output.var will no longer be a stanmodel object, but instead a CmdStanModel object, so the example code above would look like this:

```{stan, output.var="model"}
// Stan model code
```

```{r}
model$sample()
```

Example

// This stan chunk results in a CmdStanModel object called "ex1"
parameters {
  array[2] real y;
}
model {
  y[1] ~ normal(0, 1);
  y[2] ~ double_exponential(0, 2);
}

ex1$print()
#> // This stan chunk results in a CmdStanModel object called "ex1"
#> parameters {
#>   array[2] real y;
#> }
#> model {
#>   y[1] ~ normal(0, 1);
#>   y[2] ~ double_exponential(0, 2);
#> }

fit <- ex1$sample(
  refresh = 0,
  seed = 42L
)
#> Running MCMC with 4 sequential chains...
#> 
#> 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: 0.7 seconds.

print(fit)
#>  variable  mean median   sd  mad    q5   q95 rhat ess_bulk ess_tail
#>      lp__ -1.49  -1.15 1.25 0.98 -4.04 -0.17 1.00     1284     1327
#>      y[1] -0.03  -0.02 1.01 1.02 -1.68  1.62 1.00     2086     1813
#>      y[2] -0.01  -0.05 2.78 1.99 -4.55  4.62 1.00     2015     1281

Option 3: Using both RStan and CmdStanR in the same R Markdown document

While the default behavior is to override the built-in stan engine because the assumption is that the user is probably not using both RStan and CmdStanR in the same document or project, the option to use both exists. When registering CmdStanR’s knitr engine, set override = FALSE to register the engine as a cmdstan engine:

register_knitr_engine(override = FALSE)

This will cause stan chunks to be processed by knitr’s built-in, RStan-based engine and only use CmdStanR’s knitr engine for cmdstan chunks:

```{stan, output.var="model_obj1"}
// Results in a stanmodel object from RStan
```

```{r}
rstan::sampling(model_obj1)
```

```{cmdstan, output.var="model_obj2"}
// Results in a CmdStanModel object from CmdStanR
```

```{r}
model_obj2$sample()
```

Caching chunks

Use cache=TRUE chunk option to avoid re-compiling the Stan model code every time the R Markdown is knit/rendered.

You can find the Stan model file and the compiled executable in the document’s cache directory.

Running interactively

When running chunks interactively in RStudio (e.g. when using R Notebooks), it has been observed that the built-in, RStan-based engine is used for stan chunks even when CmdStanR’s engine has been registered in the session as the engine for stan. As a workaround, when running chunks interactively, it is recommended to use the override = FALSE option and change stan chunks to be cmdstan chunks.