Stan’s univariate log probability functions, including the log density functions, log mass functions, log CDFs, and log CCDFs, all support vectorized function application, with results defined to be the sum of the elementwise application of the function. Some of the PRNG functions support vectorization, see section 10.8.3 for more details.
In all cases, matrix operations are at least as fast and usually faster than loops and vectorized log probability functions are faster than their equivalent form defined with loops. This isn’t because loops are slow in Stan, but because more efficient automatic differentiation can be used. The efficiency comes from the fact that a vectorized log probably function only introduces one new node into the expression graph, thus reducing the number of virtual function calls required to compute gradients in C++, as well as from allowing caching of repeated computations.
Stan also overloads the multivariate normal distribution, including the Cholesky-factor form, allowing arrays of row vectors or vectors for the variate and location parameter. This is a huge savings in speed because the work required to solve the linear system for the covariance matrix is only done once.
Stan also overloads some scalar functions, such as
apply to vectors (arrays) and return vectors (arrays). These
vectorizations are defined elementwise and unlike the probability
functions, provide only minimal efficiency speedups over repeated
application and assignment in a loop.
10.8.1 Vectorized Function Signatures
10.8.1.1 Vectorized Scalar Arguments
The normal probability function is specified with the signature
normal_lpdf(reals | reals, reals);
reals is used to indicate that an argument position
may be vectorized. Argument positions declared as
reals may be
filled with a real, a one-dimensional array, a vector, or a
row-vector. If there is more than one array or vector argument, their
types can be anything but their size must match. For instance, it is
legal to use
normal_lpdf(row_vector | vector, real) as long as the
vector and row vector have the same size.
10.8.1.2 Vectorized Vector and Row Vector Arguments
The multivariate normal distribution accepting vector or array of vector arguments is written as
multi_normal_lpdf(vectors | vectors, matrix);
These arguments may be row vectors, column vectors, or arrays of row vectors or column vectors.
10.8.1.3 Vectorized Integer Arguments
ints is used for vectorized integer arguments. Where
it appears either an integer or array of integers may be used.
10.8.2 Evaluating Vectorized Log Probability Functions
The result of a vectorized log probability function is equivalent to
the sum of the evaluations on each element. Any non-vector argument,
int, is repeated. For instance, if
y is a vector
mu is a vector of size
sigma is a scalar,
ll = normal_lpdf(y | mu, sigma);
is just a more efficient way to write
ll = 0; for (n in 1:N) ll = ll + normal_lpdf(y[n] | mu[n], sigma);
With the same arguments, the vectorized sampling statement
y ~ normal(mu, sigma);
has the same effect on the total log probability as
for (n in 1:N) y[n] ~ normal(mu[n], sigma);
10.8.3 Evaluating Vectorized PRNG Functions
Some PRNG functions accept sequences as well as scalars as arguments.
Such functions are indicated by argument pseudotypes
ints. In cases of sequence arguments, the output will also be a
sequence. For example, the following is allowed in the generated
vector mu = ...; real x = normal_rng(mu, 3);
10.8.3.1 Argument types
In the case of PRNG functions, arguments marked
ints may be integers
or integer arrays, whereas arguments marked
reals may be integers or
reals, integer or real arrays, vectors, or row vectors.
|pseudotype||allowable PRNG arguments|
10.8.3.2 Dimension matching
In general, if there are multiple non-scalar arguments, they must all
have the same dimensions, but need not have the same type. For
normal_rng function may be called with one vector
argument and one real array argument as long as they have the same
number of elements.
vector mu = ...; real sigma = ...; real x = normal_rng(mu, sigma);
10.8.3.3 Return type
The result of a vectorized PRNG function depends on the size of the
arguments and the distribution’s support. If all arguments are
scalars, then the return type is a scalar. For a continuous
distribution, if there are any non-scalar arguments, the return type
is a real array (
real) matching the size of any of the non-scalar
arguments, as all non-scalar arguments must have matching size.
Discrete distributions return
ints and continuous distributions
reals, each of appropriate size. The symbol
R denotes such
a return type.