Run Stan's MCMC algorithms — model-method-sample • cmdstanr
Description: The $sample() method of a CmdStanModel object runs Stan's main Markov chain Monte Carlo algorithm. Any argument left as NULL will default to the default value used by the installed version of CmdStan. See the CmdStan User’s Guide for more details. After model fitting any diagnostics specified via the diagnostics argument will be checked and warnings will be printed if warranted.

# Run Stan's MCMC algorithms

Source: `R/model.R`
`model-method-sample.Rd`

The `$sample()` method of a `CmdStanModel` object runs Stan's main Markov chain Monte Carlo algorithm.

Any argument left as `NULL` will default to the default value used by the installed version of CmdStan. See the CmdStan User’s Guide for more details.

After model fitting any diagnostics specified via the `diagnostics` argument will be checked and warnings will be printed if warranted.

    sample(
      data = NULL,
      seed = NULL,
      refresh = NULL,
      init = NULL,
      save_latent_dynamics = FALSE,
      output_dir = NULL,
      output_basename = NULL,
      sig_figs = NULL,
      chains = 4,
      parallel_chains = getOption("mc.cores", 1),
      chain_ids = seq_len(chains),
      threads_per_chain = NULL,
      opencl_ids = NULL,
      iter_warmup = NULL,
      iter_sampling = NULL,
      save_warmup = FALSE,
      thin = NULL,
      max_treedepth = NULL,
      adapt_engaged = TRUE,
      adapt_delta = NULL,
      step_size = NULL,
      metric = NULL,
      metric_file = NULL,
      inv_metric = NULL,
      init_buffer = NULL,
      term_buffer = NULL,
      window = NULL,
      fixed_param = FALSE,
      show_messages = TRUE,
      show_exceptions = TRUE,
      diagnostics = c("divergences", "treedepth", "ebfmi"),
      cores = NULL,
      num_cores = NULL,
      num_chains = NULL,
      num_warmup = NULL,
      num_samples = NULL,
      validate_csv = NULL,
      save_extra_diagnostics = NULL,
      max_depth = NULL,
      stepsize = NULL
    )

## Arguments

data

  (multiple options) The data to use for the variables specified in the data block of the Stan program. One of the following:

  - A named list of R objects with the names corresponding to variables declared in the data block of the Stan program. Internally this list is then written to JSON for CmdStan using `write_stan_json()`. See `write_stan_json()` for details on the conversions performed on R objects before they are passed to Stan.

  - A path to a data file compatible with CmdStan (JSON or R dump). See the appendices in the CmdStan guide for details on using these formats.

  - `NULL` or an empty list if the Stan program has no data block.

seed

  (positive integer(s)) A seed for the (P)RNG to pass to CmdStan. In the case of multi-chain sampling the single `seed` will automatically be augmented by the the run (chain) ID so that each chain uses a different seed. The exception is the transformed data block, which defaults to using same seed for all chains so that the same data is generated for all chains if RNG functions are used. The only time `seed` should be specified as a vector (one element per chain) is if RNG functions are used in transformed data and the goal is to generate different data for each chain.

refresh

  (non-negative integer) The number of iterations between printed screen updates. If `refresh = 0`, only error messages will be printed.

init

  (multiple options) The initialization method to use for the variables declared in the parameters block of the Stan program. One of the following:

  - A real number `x>0`. This initializes all parameters randomly between `[-x,x]` on the unconstrained parameter space.;

  - The number `0`. This initializes all parameters to `0`;

  - A character vector of paths (one per chain) to JSON or Rdump files containing initial values for all or some parameters. See `write_stan_json()` to write R objects to JSON files compatible with CmdStan.

  - A list of lists containing initial values for all or some parameters. For MCMC the list should contain a sublist for each chain. For optimization and variational inference there should be just one sublist. The sublists should have named elements corresponding to the parameters for which you are specifying initial values. See Examples.

  - A function that returns a single list with names corresponding to the parameters for which you are specifying initial values. The function can take no arguments or a single argument `chain_id`. For MCMC, if the function has argument `chain_id` it will be supplied with the chain id (from 1 to number of chains) when called to generate the initial values. See Examples.

save_latent_dynamics

  (logical) Should auxiliary diagnostic information about the latent dynamics be written to temporary diagnostic CSV files? This argument replaces CmdStan's `diagnostic_file` argument and the content written to CSV is controlled by the user's CmdStan installation and not CmdStanR (for some algorithms no content may be written). The default is `FALSE`, which is appropriate for almost every use case. To save the temporary files created when `save_latent_dynamics=TRUE` see the `$save_latent_dynamics_files()` method.

output_dir

  (string) A path to a directory where CmdStan should write its output CSV files. For interactive use this can typically be left at `NULL` (temporary directory) since CmdStanR makes the CmdStan output (posterior draws and diagnostics) available in R via methods of the fitted model objects. The behavior of `output_dir` is as follows:

  - If `NULL` (the default), then the CSV files are written to a temporary directory and only saved permanently if the user calls one of the `$save_*` methods of the fitted model object (e.g., `$save_output_files()`). These temporary files are removed when the fitted model object is garbage collected (manually or automatically).

  - If a path, then the files are created in `output_dir` with names corresponding to the defaults used by `$save_output_files()`.

output_basename

  (string) A string to use as a prefix for the names of the output CSV files of CmdStan. If `NULL` (the default), the basename of the output CSV files will be comprised from the model name, timestamp, and 5 random characters.

sig_figs

  (positive integer) The number of significant figures used when storing the output values. By default, CmdStan represent the output values with 6 significant figures. The upper limit for `sig_figs` is 18. Increasing this value will result in larger output CSV files and thus an increased usage of disk space.

chains

  (positive integer) The number of Markov chains to run. The default is 4.

parallel_chains

  (positive integer) The maximum number of MCMC chains to run in parallel. If `parallel_chains` is not specified then the default is to look for the option `"mc.cores"`, which can be set for an entire R session by `options(mc.cores=value)`. If the `"mc.cores"` option has not been set then the default is `1`.

chain_ids

  (integer vector) A vector of chain IDs. Must contain as many unique positive integers as the number of chains. If not set, the default chain IDs are used (integers starting from `1`).

threads_per_chain

  (positive integer) If the model was compiled with threading support, the number of threads to use in parallelized sections within an MCMC chain (e.g., when using the Stan functions `reduce_sum()` or `map_rect()`). This is in contrast with `parallel_chains`, which specifies the number of chains to run in parallel. The actual number of CPU cores used is `parallel_chains*threads_per_chain`. For an example of using threading see the Stan case study Reduce Sum: A Minimal Example.

opencl_ids

  (integer vector of length 2) The platform and device IDs of the OpenCL device to use for fitting. The model must be compiled with `cpp_options = list(stan_opencl = TRUE)` for this argument to have an effect.

iter_warmup

  (positive integer) The number of warmup iterations to run per chain. Note: in the CmdStan User's Guide this is referred to as `num_warmup`.

iter_sampling

  (positive integer) The number of post-warmup iterations to run per chain. Note: in the CmdStan User's Guide this is referred to as `num_samples`.

save_warmup

  (logical) Should warmup iterations be saved? The default is `FALSE`.

thin

  (positive integer) The period between saved samples. This should typically be left at its default (no thinning) unless memory is a problem.

max_treedepth

  (positive integer) The maximum allowed tree depth for the NUTS engine. See the Tree Depth section of the CmdStan User's Guide for more details.

adapt_engaged

  (logical) Do warmup adaptation? The default is `TRUE`. If a precomputed inverse metric is specified via the `inv_metric` argument (or `metric_file`) then, if `adapt_engaged=TRUE`, Stan will use the provided inverse metric just as an initial guess during adaptation. To turn off adaptation when using a precomputed inverse metric set `adapt_engaged=FALSE`.

adapt_delta

  (real in `(0,1)`) The adaptation target acceptance statistic.

step_size

  (positive real) The initial step size for the discrete approximation to continuous Hamiltonian dynamics. This is further tuned during warmup.

metric

  (string) One of `"diag_e"`, `"dense_e"`, or `"unit_e"`, specifying the geometry of the base manifold. See the Euclidean Metric section of the CmdStan User's Guide for more details. To specify a precomputed (inverse) metric, see the `inv_metric` argument below.

metric_file

  (character vector) The paths to JSON or Rdump files (one per chain) compatible with CmdStan that contain precomputed inverse metrics. The `metric_file` argument is inherited from CmdStan but is confusing in that the entry in JSON or Rdump file(s) must be named `inv_metric`, referring to the inverse metric. We recommend instead using CmdStanR's `inv_metric` argument (see below) to specify an inverse metric directly using a vector or matrix from your R session.

inv_metric

  (vector, matrix) A vector (if `metric='diag_e'`) or a matrix (if `metric='dense_e'`) for initializing the inverse metric. This can be used as an alternative to the `metric_file` argument. A vector is interpreted as a diagonal metric. The inverse metric is usually set to an estimate of the posterior covariance. See the `adapt_engaged` argument above for details about (and control over) how specifying a precomputed inverse metric interacts with adaptation.

init_buffer

  (nonnegative integer) Width of initial fast timestep adaptation interval during warmup.

term_buffer

  (nonnegative integer) Width of final fast timestep adaptation interval during warmup.

window

  (nonnegative integer) Initial width of slow timestep/metric adaptation interval.

fixed_param

  (logical) When `TRUE`, call CmdStan with argument `"algorithm=fixed_param"`. The default is `FALSE`. The fixed parameter sampler generates a new sample without changing the current state of the Markov chain; only generated quantities may change. This can be useful when, for example, trying to generate pseudo-data using the generated quantities block. If the parameters block is empty then using `fixed_param=TRUE` is mandatory. When `fixed_param=TRUE` the `chains` and `parallel_chains` arguments will be set to `1`.

show_messages

  (logical) When `TRUE` (the default), prints all output during the sampling process, such as iteration numbers and elapsed times. If the output is silenced then the `$output()` method of the resulting fit object can be used to display the silenced messages.

show_exceptions

  (logical) When `TRUE` (the default), prints all informational messages, for example rejection of the current proposal. Disable if you wish to silence these messages, but this is not usually recommended unless you are very confident that the model is correct up to numerical error. If the messages are silenced then the `$output()` method of the resulting fit object can be used to display the silenced messages.

diagnostics

  (character vector) The diagnostics to automatically check and warn about after sampling. Setting this to an empty string `""` or `NULL` can be used to prevent CmdStanR from automatically reading in the sampler diagnostics from CSV if you wish to manually read in the results and validate them yourself, for example using `read_cmdstan_csv()`. The currently available diagnostics are `"divergences"`, `"treedepth"`, and `"ebfmi"` (the default is to check all of them).

  These diagnostics are also available after fitting. The `$sampler_diagnostics()` method provides access the diagnostic values for each iteration and the `$diagnostic_summary()` method provides summaries of the diagnostics and can regenerate the warning messages.

  Diagnostics like R-hat and effective sample size are not currently available via the `diagnostics` argument but can be checked after fitting using the `$summary()` method.

cores, num_cores, num_chains, num_warmup, num_samples, save_extra_diagnostics, max_depth, stepsize, validate_csv

  Deprecated and will be removed in a future release.

## Value

A `CmdStanMCMC` object.

## 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

Other CmdStanModel methods: `model-method-check_syntax`, `model-method-compile`, `model-method-diagnose`, `model-method-expose_functions`, `model-method-format`, `model-method-generate-quantities`, `model-method-optimize`, `model-method-sample_mpi`, `model-method-variables`, `model-method-variational`

## 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-2.32.2

    # 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;
    #> }
    #> 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...
    #>
    #> Chain 1 Iteration:    1 / 2000 [  0%]  (Warmup)
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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>     <num>  <num> <num> <num>   <num>  <num> <num>    <num>    <num>
    #> 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$cmdstan_diagnose()
    #> Processing csv files: /var/folders/s0/zfzm55px2nd2v__zlw5xfj2h0000gn/T/RtmpFBtN6X/bernoulli-202307251438-1-239737.csv, /var/folders/s0/zfzm55px2nd2v__zlw5xfj2h0000gn/T/RtmpFBtN6X/bernoulli-202307251438-2-239737.csv
    #>
    #> Checking sampler transitions treedepth.
    #> Treedepth satisfactory for all transitions.
    #>
    #> Checking sampler transitions for divergences.
    #> No divergent transitions found.
    #>
    #> Checking E-BFMI - sampler transitions HMC potential energy.
    #> E-BFMI satisfactory.
    #>
    #> Effective sample size satisfactory.
    #>
    #> Split R-hat values satisfactory all parameters.
    #>
    #> Processing complete, no problems detected.
    fit_mcmc$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 (0.0040, 0.0040) seconds, 0.0080 seconds total
    #> Sampling took (0.011, 0.011) seconds, 0.022 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    35502      1.0
    #> accept_stat__   0.92  8.3e-03    0.13   0.64  0.97   1.0    235    10662  1.0e+00
    #> stepsize__      0.95  7.9e-02   0.079   0.87   1.0   1.0    1.0       46  2.0e+13
    #> treedepth__      1.4  1.1e-02    0.48    1.0   1.0   2.0   1874    85179  1.0e+00
    #> n_leapfrog__     2.5  1.4e-01     1.3    1.0   3.0   3.0     89     4050  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    775    35215  1.0e+00
    #>
    #> theta           0.25  4.3e-03    0.12  0.079  0.23  0.47    796    36197      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>       <num>
    #> 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 9e-06 seconds
    #> 1000 transitions using 10 leapfrog steps per transition would take 0.09 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>        <num>  <num> <num> <num>  <num>    <num>
    #> 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
    #>
    #>
    # }