Merge a list of stanfit objects into one

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Description

This function takes a list of stanfit objects and returns a consolidated stanfit object. The stanfit objects to be merged need to have the same configuration of iteration, warmup, and thin, besides being from the same model. This could facilitate some parallel usage of RStan. For example, if we call stan by parallel and it returns a list of stanfit objects, this function can be used to create one stanfit object from the list.

Usage

1
  sflist2stanfit(sflist) 

Arguments

sflist

A list of stanfit objects.

Value

An S4 object of stanfit consolidated from all the input stanfit objects.

Note

This function should be called in rare circumstances because sampling has a cores argument that allows multiple chains to be executed in parallel. However, if you need to depart from that, the best practice is to use sflist2stanfit on a list of stanfit objects created with the same seed but different chain_id (see example below). Using the same seed but different chain_id can make sure the random number generations for all chains are not correlated.

This function would do some check to see if the stanfit objects in the input list can be merged. But the check is not sufficient. So generally, it is the user's responsibility to make sure the input is correct so that the merging makes sense.

The date in the new stanfit object is when it is merged.

get_seed function for the new consolidated stanfit object only returns the seed used in the first chain of the new object.

The sampler such as NUTS2 that is displayed in the printout by print is the sampler used for the first chain. The print method assumes the samplers are the same for all chains.

The included stanmodel object, which includes the compiled model, in the new stanfit object is from the first element of the input list.

References

The Stan Development Team Stan Modeling Language User's Guide and Reference Manual. http://mc-stan.org/.

See Also

stan

Examples

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## Not run: 
library(rstan)
scode <- "
data {
  int<lower=1> N;
} 
parameters {
  real y1[N]; 
  real y2[N]; 
} 
model {
  y1 ~ normal(0, 1);
  y2 ~ double_exponential(0, 2);
} 
"
seed <- 123 # or any other integer 
foo_data <- list(N = 2)
foo <- stan(model_code = scode, data = foo_data, chains = 1, iter = 1)
f1 <- stan(fit = foo, data = foo_data, chains = 1, seed = seed, chain_id = 1) 
f2 <- stan(fit = foo, data = foo_data, chains = 2, seed = seed, chain_id = 2:3) 
f12 <- sflist2stanfit(list(f1, f2)) 

## parallel stan call for unix-like OS
library(parallel)

if (.Platform$OS.type == "unix") {
sflist1 <- 
  mclapply(1:4, mc.cores = 4, 
           function(i) stan(fit = foo, data = foo_data, seed = seed, 
	                    chains = 1, chain_id = i, refresh = -1))
f3 <- sflist2stanfit(sflist1)
}
if (.Platform$OS.type == "windows") { # also works on non-Windows
CL <- makeCluster(4)
clusterExport(cl = CL, c("foo_data", "foo", "seed")) 
sflist1 <- parLapply(CL, 1:4, fun = function(cid) {  
  require(rstan)
  stan(fit = foo, data = foo_data, chains = 1, 
       iter = 2000, seed = seed, chain_id = cid)
})

fit <- sflist2stanfit(sflist1)
print(fit)
stopCluster(CL)
} # end example for Windows 

## End(Not run)

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