cmdstanr-package: CmdStanR: the R interface to CmdStan

In stan-dev/cmdstanr: R Interface to 'CmdStan'

CmdStanR: the R interface to CmdStan

Description

Stan Development Team

CmdStanR: the R interface to CmdStan.

Details

CmdStanR (cmdstanr package) is an interface to Stan (mc-stan.org) for R users. It provides the necessary objects and functions to compile a Stan program and run Stan's algorithms from R via CmdStan, the shell interface to Stan (mc-stan.org/users/interfaces/cmdstan).

Different ways of interfacing with Stan’s C++

The RStan interface (rstan package) is an in-memory interface to Stan and relies on R packages like Rcpp and inline to call C++ code from R. On the other hand, the CmdStanR interface does not directly call any C++ code from R, instead relying on the CmdStan interface behind the scenes for compilation, running algorithms, and writing results to output files.

Advantages of RStan

• Allows other developers to distribute R packages with pre-compiled Stan programs (like rstanarm) on CRAN. (Note: As of 2023, this can mostly be achieved with CmdStanR as well. See Developing using CmdStanR.)

• Avoids use of R6 classes, which may result in more familiar syntax for many R users.

• CRAN binaries available for Mac and Windows.

Advantages of CmdStanR

• Compatible with latest versions of Stan. Keeping up with Stan releases is complicated for RStan, often requiring non-trivial changes to the rstan package and new CRAN releases of both rstan and StanHeaders. With CmdStanR the latest improvements in Stan will be available from R immediately after updating CmdStan using cmdstanr::install_cmdstan().

• Running Stan via external processes results in fewer unexpected crashes, especially in RStudio.

• Less memory overhead.

• More permissive license. RStan uses the GPL-3 license while the license for CmdStanR is BSD-3, which is a bit more permissive and is the same license used for CmdStan and the Stan C++ source code.

Getting started

CmdStanR requires a working version of CmdStan. If you already have CmdStan installed see cmdstan_model() to get started, otherwise see install_cmdstan() to install CmdStan. The vignette Getting started with CmdStanR demonstrates the basic functionality of the package.

For a list of global options see cmdstanr_global_options.

Author(s)

Maintainer: Jonah Gabry [e-mail]

Authors:

• Rok Češnovar [e-mail]

• Andrew Johnson (ORCID)

Other contributors:

• Ben Bales [contributor]

• Mitzi Morris [contributor]

• Mikhail Popov [contributor]

• Mike Lawrence [contributor]

• William Michael Landau [e-mail] (ORCID) [contributor]

• Jacob Socolar [contributor]

• Martin Modrák [contributor]

• Steve Bronder [contributor]

See Also

The CmdStanR website (mc-stan.org/cmdstanr) for online documentation and tutorials.

The Stan and CmdStan documentation:

• Stan documentation: mc-stan.org/users/documentation

• CmdStan User’s Guide: mc-stan.org/docs/cmdstan-guide

Useful links:

• https://mc-stan.org/cmdstanr/

• https://discourse.mc-stan.org

• Report bugs at https://github.com/stan-dev/cmdstanr/issues

Examples

## Not run: 
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)

# 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 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
)

# Use 'posterior' package for summaries
fit_mcmc$summary()

# Check sampling diagnostics
fit_mcmc$diagnostic_summary()

# Get posterior draws
draws <- fit_mcmc$draws()
print(draws)

# Convert to data frame using posterior::as_draws_df
as_draws_df(draws)

# Plot posterior using bayesplot (ggplot2)
mcmc_hist(fit_mcmc$draws("theta"))

# 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$optimize(data = my_data_file, seed = 123)
fit_optim$summary()

# Run 'optimize' again with 'jacobian=TRUE' and then draw from Laplace approximation
# to the posterior
fit_optim <- mod$optimize(data = my_data_file, jacobian = TRUE)
fit_laplace <- mod$laplace(data = my_data_file, mode = fit_optim, draws = 2000)
fit_laplace$summary()

# Run 'variational' method to use ADVI to approximate posterior
fit_vb <- mod$variational(data = stan_data, seed = 123)
fit_vb$summary()
mcmc_hist(fit_vb$draws("theta"))

# Run 'pathfinder' method, a new alternative to the variational method
fit_pf <- mod$pathfinder(data = stan_data, seed = 123)
fit_pf$summary()
mcmc_hist(fit_pf$draws("theta"))

# Run 'pathfinder' again with more paths, fewer draws per path,
# better covariance approximation, and fewer LBFGSs iterations
fit_pf <- mod$pathfinder(data = stan_data, num_paths=10, single_path_draws=40,
                         history_size=50, max_lbfgs_iters=100)

# Specifying initial values as a function
fit_mcmc_w_init_fun <- mod$sample(
  data = stan_data,
  seed = 123,
  chains = 2,
  refresh = 0,
  init = function() list(theta = runif(1))
)
fit_mcmc_w_init_fun_2 <- mod$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))
  }
)
fit_mcmc_w_init_fun_2$init()

# Specifying initial values as a list of lists
fit_mcmc_w_init_list <- mod$sample(
  data = stan_data,
  seed = 123,
  chains = 2,
  refresh = 0,
  init = list(
    list(theta = 0.75), # chain 1
    list(theta = 0.25)  # chain 2
  )
)
fit_optim_w_init_list <- mod$optimize(
  data = stan_data,
  seed = 123,
  init = list(
    list(theta = 0.75)
  )
)
fit_optim_w_init_list$init()

## End(Not run)

stan-dev/cmdstanr documentation built on April 21, 2024, 5:38 a.m.