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14 Parallelization

Stan provides high-level parallelization via multi-threading by use of the reduce_sum and map_rect functions in a Stan program. Stan also provides low-level parallelization on GPU hardware using the OpenCL framework to speed up matrix operations. Both of these features require building executibles which call the appropriate libraries. This is done via makefile variables which set the appropriate C++ compiler and linker flags:

  • STAN_THREADS - compiler directives for threading
  • STAN_OPENCL - compiler directives for GPU-aware matrix operations

These options can be combined, it is possible to run a program which uses multi-threading operations on a machine with GPU hardware, in which case, the call to Make

For example to compile program parallel_logistic.stan which uses reduce_sum for within-chain parallelization on an OpenCL (GPU) machine:

> make STAN_THREADS=TRUE STAN_OPENCL=TRUE /path/to/parallel_logistic

In addition, for multi-threaded programs, it is necessary to specify the number of available threads via the shell environment variable STAN_NUM_THREADS which specifies how many threads to run in parallel. Generally, this number should not exceed the number of available cores. If this variable isn’t set, then the program will run single-threaded. To run a single chain on a 4-core machine for program parallel_logistic:

./parallel_logistic sample data file=data.csv ...