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Merge pull request #2434 from stan-dev/feature/2432-standalone-gq-ser…
…vice Feature/2432 standalone gq service
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,92 @@ | ||
| #ifndef STAN_SERVICES_SAMPLE_STANDALONE_GQS_HPP | ||
| #define STAN_SERVICES_SAMPLE_STANDALONE_GQS_HPP | ||
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| #include <stan/callbacks/interrupt.hpp> | ||
| #include <stan/callbacks/logger.hpp> | ||
| #include <stan/callbacks/writer.hpp> | ||
| #include <stan/services/error_codes.hpp> | ||
| #include <stan/services/util/create_rng.hpp> | ||
| #include <stan/services/util/gq_writer.hpp> | ||
| #include <string> | ||
| #include <vector> | ||
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| namespace stan { | ||
| namespace services { | ||
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| /** | ||
| * Return the number of constrained parameters for the specified | ||
| * model. | ||
| * | ||
| * @tparam Model type of model | ||
| * @param[in] model model to query | ||
| * @return number of constrained parameters for the model | ||
| */ | ||
| template <class Model> | ||
| int num_constrained_params(const Model& model) { | ||
| std::vector<std::string> param_names; | ||
| static const bool include_tparams = false; | ||
| static const bool include_gqs = false; | ||
| model.constrained_param_names(param_names, include_tparams, | ||
| include_gqs); | ||
| return param_names.size(); | ||
| } | ||
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| /** | ||
| * Given a set of draws from a fitted model, generate corresponding | ||
| * quantities of interest. Data written to callback writer. | ||
| * Return code indicates success or type of error. | ||
| * | ||
| * @tparam Model model class | ||
| * @param[in] model instantiated model | ||
| * @param[in] draws sequence of draws of unconstrained parameters | ||
| * @param[in] seed seed to use for randomization | ||
| * @param[in, out] interrupt called every iteration | ||
| * @param[in, out] logger logger to which to write warning and error messages | ||
| * @param[in, out] sample_writer writer to which draws are written | ||
| * @return error code | ||
| */ | ||
| template <class Model> | ||
| int standalone_generate(const Model& model, | ||
| const std::vector<std::vector<double> >& draws, | ||
| unsigned int seed, | ||
| callbacks::interrupt& interrupt, | ||
| callbacks::logger& logger, | ||
| callbacks::writer& sample_writer) { | ||
| if (draws.empty()) { | ||
| logger.error("Empty set of draws from fitted model."); | ||
| return error_codes::DATAERR; | ||
| } | ||
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| int num_params = num_constrained_params(model); | ||
| std::vector<std::string> gq_names; | ||
| static const bool include_tparams = false; | ||
| static const bool include_gqs = true; | ||
| model.constrained_param_names(gq_names, include_tparams, include_gqs); | ||
| if (!(static_cast<size_t>(num_params) < gq_names.size())) { | ||
| logger.error("Model doesn't generate any quantities of interest."); | ||
| return error_codes::CONFIG; | ||
| } | ||
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| util::gq_writer writer(sample_writer, logger, num_params); | ||
| boost::ecuyer1988 rng = util::create_rng(seed, 1); | ||
| writer.write_gq_names(model); | ||
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| std::stringstream msg; | ||
| for (const std::vector<double>& draw : draws) { | ||
| if (static_cast<size_t>(num_params) != draw.size()) { | ||
| msg << "Wrong number of params in draws from fitted model. "; | ||
| msg << "Expecting " << num_params << " columns, "; | ||
| msg << "found " << draws[0].size() << " columns."; | ||
| std::string msgstr = msg.str(); | ||
| logger.error(msgstr); | ||
| return error_codes::DATAERR; | ||
| } | ||
| interrupt(); // call out to interrupt and fail | ||
| writer.write_gq_values(model, rng, draw); | ||
| } | ||
| return error_codes::OK; | ||
| } | ||
|
|
||
| } | ||
| } | ||
| #endif |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,105 @@ | ||
| #ifndef STAN_SERVICES_UTIL_GQ_WRITER_HPP | ||
| #define STAN_SERVICES_UTIL_GQ_WRITER_HPP | ||
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| #include <stan/callbacks/logger.hpp> | ||
| #include <stan/callbacks/writer.hpp> | ||
| #include <stan/mcmc/base_mcmc.hpp> | ||
| #include <stan/mcmc/sample.hpp> | ||
| #include <stan/model/prob_grad.hpp> | ||
| #include <sstream> | ||
| #include <iomanip> | ||
| #include <string> | ||
| #include <vector> | ||
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| namespace stan { | ||
| namespace services { | ||
| namespace util { | ||
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| /** | ||
| * gq_writer writes out | ||
| * | ||
| * @tparam Model Model class | ||
| */ | ||
| class gq_writer { | ||
| private: | ||
| callbacks::writer& sample_writer_; | ||
| callbacks::logger& logger_; | ||
| int num_constrained_params_; | ||
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| public: | ||
| /** | ||
| * Constructor. | ||
| * | ||
| * @param[in,out] sample_writer samples are "written" to this stream | ||
| * @param[in,out] logger messages are written through the logger | ||
| * @param[in] num_constrained_params offset into write_array gqs | ||
| */ | ||
| gq_writer(callbacks::writer& sample_writer, callbacks::logger& logger, | ||
| int num_constrained_params): sample_writer_(sample_writer), | ||
| logger_(logger), | ||
| num_constrained_params_(num_constrained_params) { } | ||
|
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| /** | ||
| * Write names of variables declared in the generated quantities block | ||
| * to stream `sample_writer_`. | ||
| * | ||
| * @tparam M model class | ||
| */ | ||
| template <class Model> | ||
| void write_gq_names(const Model& model) { | ||
| static const bool include_tparams = false; | ||
| static const bool include_gqs = true; | ||
| std::vector<std::string> names; | ||
| model.constrained_param_names(names, include_tparams, include_gqs); | ||
| std::vector<std::string> gq_names(names.begin() | ||
| + num_constrained_params_, | ||
| names.end()); | ||
| sample_writer_(gq_names); | ||
| } | ||
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| /** | ||
| * Calls model's `write_array` method and writes values of | ||
| * variables defined in the generated quantities block | ||
| * to stream `sample_writer_`. | ||
| * | ||
| * @tparam M model class | ||
| * @tparam RNG pseudo random number generator class | ||
| * @param[in] model instantiated model | ||
| * @param[in] rng instantiated RNG | ||
| * @param[in] draw sequence unconstrained parameters values. | ||
| */ | ||
| template <class Model, class RNG> | ||
| void write_gq_values(const Model& model, | ||
| RNG& rng, | ||
| const std::vector<double>& draw) { | ||
| std::vector<double> values; | ||
| std::vector<int> params_i; // unused - no discrete params | ||
| std::stringstream ss; | ||
| try { | ||
| model.write_array(rng, | ||
| const_cast<std::vector<double>&>(draw), | ||
| params_i, | ||
| values, | ||
| false, | ||
| true, | ||
| &ss); | ||
| } catch (const std::exception& e) { | ||
| if (ss.str().length() > 0) | ||
| logger_.info(ss); | ||
| logger_.info(e.what()); | ||
| return; | ||
| } | ||
| if (ss.str().length() > 0) | ||
| logger_.info(ss); | ||
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| std::vector<double> gq_values(values.begin() | ||
| + num_constrained_params_, | ||
| values.end()); | ||
| sample_writer_(gq_values); | ||
| } | ||
| }; | ||
|
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| } | ||
| } | ||
| } | ||
| #endif |
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