Create a new CmdStanModel object

Create a new CmdStanModel object from a file containing a Stan program or from an existing Stan executable. The CmdStanModel object stores the path to a Stan program and compiled executable (once created), and provides methods for fitting the model using Stan's algorithms.

See the compile and ... arguments for control over whether and how compilation happens.

cmdstan_model(stan_file = NULL, exe_file = NULL, compile = TRUE, ...)

Arguments

stan_file	(string) The path to a `.stan` file containing a Stan program. The helper function `write_stan_file()` is provided for cases when it is more convenient to specify the Stan program as a string. If `stan_file` is not specified then `exe_file` must be specified.
exe_file	(string) The path to an existing Stan model executable. Can be provided instead of or in addition to `stan_file` (if `stan_file` is omitted some `CmdStanModel` methods like `$code()` and `$print()` will not work). This argument can only be used with CmdStan 2.27+.
compile	(logical) Do compilation? The default is `TRUE`. If `FALSE` compilation can be done later via the `$compile()` method.
...	Optionally, additional arguments to pass to the `$compile()` method if `compile=TRUE`. These options include specifying the directory for saving the executable, turning on pedantic mode, specifying include paths, configuring C++ options, and more. See `$compile()` for details.

Value

A CmdStanModel object.

Examples

# \dontrun{
library(cmdstanr)
library(posterior)
library(bayesplot)
color_scheme_set("brightblue")

# Set path to CmdStan
# (Note: if you installed CmdStan via install_cmdstan() with default settings
# then setting the path is unnecessary but the default below should still work.
# Otherwise use the `path` argument to specify the location of your
# CmdStan installation.)
set_cmdstan_path(path = NULL)
#> CmdStan path set to: /Users/jgabry/.cmdstan/cmdstan-2.29.1

# Create a CmdStanModel object from a Stan program,
# here using the example model that comes with CmdStan
file <- file.path(cmdstan_path(), "examples/bernoulli/bernoulli.stan")
mod <- cmdstan_model(file)
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);
#> }

# Data as a named list (like RStan)
stan_data <- list(N = 10, y = c(0,1,0,0,0,0,0,0,0,1))

# Run MCMC using the 'sample' method
fit_mcmc <- mod$sample(
  data = stan_data,
  seed = 123,
  chains = 2,
  parallel_chains = 2
)
#> Running MCMC with 2 parallel chains...
#> 
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#> Chain 1 finished in 0.0 seconds.
#> Chain 2 finished in 0.0 seconds.
#> 
#> Both chains finished successfully.
#> Mean chain execution time: 0.0 seconds.
#> Total execution time: 0.2 seconds.
#> 

# Use 'posterior' package for summaries
fit_mcmc$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__     -7.30  -7.03  0.721 0.380 -8.82   -6.75   1.00     902.    1006.
#> 2 theta     0.247  0.233 0.122 0.129  0.0786  0.470  1.00     762.     712.

# Get posterior draws
draws <- fit_mcmc$draws()
print(draws)
#> # A draws_array: 1000 iterations, 2 chains, and 2 variables
#> , , variable = lp__
#> 
#>          chain
#> iteration    1    2
#>         1 -6.8 -6.8
#>         2 -6.9 -6.8
#>         3 -7.0 -7.0
#>         4 -6.9 -7.1
#>         5 -6.7 -7.0
#> 
#> , , variable = theta
#> 
#>          chain
#> iteration    1    2
#>         1 0.28 0.21
#>         2 0.19 0.20
#>         3 0.16 0.17
#>         4 0.20 0.36
#>         5 0.25 0.34
#> 
#> # ... with 995 more iterations

# Convert to data frame using posterior::as_draws_df
as_draws_df(draws)
#> # A draws_df: 1000 iterations, 2 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 1990 more draws
#> # ... hidden reserved variables {'.chain', '.iteration', '.draw'}

# Plot posterior using bayesplot (ggplot2)
mcmc_hist(fit_mcmc$draws("theta"))
#> `stat_bin()` using `bins = 30`. Pick better value with `binwidth`.

# Call CmdStan's diagnose and stansummary utilities
fit_mcmc$cmdstan_diagnose()
#> Processing csv files: /var/folders/s0/zfzm55px2nd2v__zlw5xfj2h0000gn/T/RtmpmzUYEz/bernoulli-202203181224-1-1bc5e7.csv, /var/folders/s0/zfzm55px2nd2v__zlw5xfj2h0000gn/T/RtmpmzUYEz/bernoulli-202203181224-2-1bc5e7.csv
#> 
#> Checking sampler transitions treedepth.
#> Treedepth satisfactory for all transitions.
#> 
#> Checking sampler transitions for divergences.
#> No divergent transitions found.
#> 
#> Checking E-BFMI - sampler transitions HMC potential energy.
#> E-BFMI satisfactory.
#> 
#> Effective sample size satisfactory.
#> 
#> Split R-hat values satisfactory all parameters.
#> 
#> Processing complete, no problems detected.
fit_mcmc$cmdstan_summary()
#> Inference for Stan model: bernoulli_model
#> 2 chains: each with iter=(1000,1000); warmup=(0,0); thin=(1,1); 2000 iterations saved.
#> 
#> Warmup took (0.0050, 0.0050) seconds, 0.010 seconds total
#> Sampling took (0.018, 0.016) seconds, 0.034 seconds total
#> 
#>                 Mean     MCSE  StdDev     5%   50%   95%    N_Eff  N_Eff/s    R_hat
#> 
#> lp__            -7.3  2.6e-02    0.72   -8.8  -7.0  -6.8      781    22972      1.0
#> accept_stat__   0.92  8.3e-03    0.13   0.64  0.97   1.0  2.3e+02  6.9e+03  1.0e+00
#> stepsize__      0.95  7.9e-02   0.079   0.87   1.0   1.0  1.0e+00  3.0e+01  2.0e+13
#> treedepth__      1.4  1.1e-02    0.48    1.0   1.0   2.0  1.9e+03  5.5e+04  1.0e+00
#> n_leapfrog__     2.5  1.4e-01     1.3    1.0   3.0   3.0  8.9e+01  2.6e+03  1.0e+00
#> divergent__     0.00      nan    0.00   0.00  0.00  0.00      nan      nan      nan
#> energy__         7.8  3.6e-02    1.00    6.8   7.5   9.6  7.7e+02  2.3e+04  1.0e+00
#> 
#> theta           0.25  4.3e-03    0.12  0.079  0.23  0.47      796    23422      1.0
#> 
#> Samples were drawn using hmc with nuts.
#> For each parameter, N_Eff is a crude measure of effective sample size,
#> and R_hat is the potential scale reduction factor on split chains (at 
#> convergence, R_hat=1).

# For models fit using MCMC, if you like working with RStan's stanfit objects
# then you can create one with rstan::read_stan_csv()

# stanfit <- rstan::read_stan_csv(fit_mcmc$output_files())


# Run 'optimize' method to get a point estimate (default is Stan's LBFGS algorithm)
# and also demonstrate specifying data as a path to a file instead of a list
my_data_file <- file.path(cmdstan_path(), "examples/bernoulli/bernoulli.data.json")
fit_optim <- mod$optimize(data = my_data_file, 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_optim$summary()
#> # A tibble: 2 × 2
#>   variable estimate
#>   <chr>       <dbl>
#> 1 lp__        -5.00
#> 2 theta        0.2 


# Run 'variational' method to approximate the posterior (default is meanfield ADVI)
fit_vb <- mod$variational(data = stan_data, seed = 123)
#> ------------------------------------------------------------ 
#> EXPERIMENTAL ALGORITHM: 
#>   This procedure has not been thoroughly tested and may be unstable 
#>   or buggy. The interface is subject to change. 
#> ------------------------------------------------------------ 
#> Gradient evaluation took 6e-06 seconds 
#> 1000 transitions using 10 leapfrog steps per transition would take 0.06 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 1000 from the approximate posterior...  
#> COMPLETED. 
#> Finished in  0.1 seconds.

fit_vb$summary()
#> # A tibble: 3 × 7
#>   variable      mean median    sd   mad     q5      q95
#>   <chr>        <dbl>  <dbl> <dbl> <dbl>  <dbl>    <dbl>
#> 1 lp__        -7.18  -6.94  0.588 0.259 -8.36  -6.75   
#> 2 lp_approx__ -0.515 -0.221 0.692 0.303 -2.06  -0.00257
#> 3 theta        0.263  0.246 0.115 0.113  0.106  0.481  

# Plot approximate posterior using bayesplot
mcmc_hist(fit_vb$draws("theta"))
#> `stat_bin()` using `bins = 30`. Pick better value with `binwidth`.


# Specifying initial values as a function
fit_mcmc_w_init_fun <- mod$sample(
  data = stan_data,
  seed = 123,
  chains = 2,
  refresh = 0,
  init = function() list(theta = runif(1))
)
#> Running MCMC with 2 sequential chains...
#> 
#> Chain 1 finished in 0.0 seconds.
#> Chain 2 finished in 0.0 seconds.
#> 
#> Both chains finished successfully.
#> Mean chain execution time: 0.0 seconds.
#> Total execution time: 0.3 seconds.
#> 
fit_mcmc_w_init_fun_2 <- mod$sample(
  data = stan_data,
  seed = 123,
  chains = 2,
  refresh = 0,
  init = function(chain_id) {
    # silly but demonstrates optional use of chain_id
    list(theta = 1 / (chain_id + 1))
  }
)
#> Running MCMC with 2 sequential chains...
#> 
#> Chain 1 finished in 0.0 seconds.
#> Chain 2 finished in 0.0 seconds.
#> 
#> Both chains finished successfully.
#> Mean chain execution time: 0.0 seconds.
#> Total execution time: 0.3 seconds.
#> 
fit_mcmc_w_init_fun_2$init()
#> [[1]]
#> [[1]]$theta
#> [1] 0.5
#> 
#> 
#> [[2]]
#> [[2]]$theta
#> [1] 0.3333333
#> 
#> 

# Specifying initial values as a list of lists
fit_mcmc_w_init_list <- mod$sample(
  data = stan_data,
  seed = 123,
  chains = 2,
  refresh = 0,
  init = list(
    list(theta = 0.75), # chain 1
    list(theta = 0.25)  # chain 2
  )
)
#> Running MCMC with 2 sequential chains...
#> 
#> Chain 1 finished in 0.0 seconds.
#> Chain 2 finished in 0.0 seconds.
#> 
#> Both chains finished successfully.
#> Mean chain execution time: 0.0 seconds.
#> Total execution time: 0.3 seconds.
#> 
fit_optim_w_init_list <- mod$optimize(
  data = stan_data,
  seed = 123,
  init = list(
    list(theta = 0.75)
  )
)
#> Initial log joint probability = -11.6657 
#>     Iter      log prob        ||dx||      ||grad||       alpha      alpha0  # evals  Notes  
#>        6      -5.00402   0.000237915   9.55309e-07           1           1        9    
#> Optimization terminated normally:  
#>   Convergence detected: relative gradient magnitude is below tolerance 
#> Finished in  0.1 seconds.
fit_optim_w_init_list$init()
#> [[1]]
#> [[1]]$theta
#> [1] 0.75
#> 
#> 
# }

Arguments

Value

See also

Examples