[DRAFT/RFC] Gaussian Copula Cholesky LPDF

[andrjohns]

Summary

Opening this as a draft PR for feedback on the signature/approach.

For the Gaussian copula (and other copula families), the user needs to provide both the y variable and a means of transforming that variable to the unit-scale.

The method I've gone with is to require a tuple of the same length as y, where each element is itself a tuple - with a functor for computing the LCDF as the first element, and any additional args as the remaining.

For example, if the user wanted to model the correlation between a Gamma(2, 1) variable and a Exp(2) variable, they would pass the tuple-of-tuples:

std::make_tuple(
    std::make_tuple(gamma_lcdf, 2, 1),
    std::make_tuple(exp_lcdf, 2)
)

So the final signature would be:

real gaussian_copula_cholesky_lpdf(vector | tuple-of-tuples, cholesky_factor_corr)

The current framework only supports continuous outcomes, but once we settle on a good approach I can expand to discrete outcomes by requiring that a uniform parameter for data-augmentation is also included in the tuple for that outcome.

Tests

Basic prim and mix are added, but the fwd components of the mix tests are currently failing

Side Effects

Extended a few of the utilities (size, vector_seq_view) for tuples

Release notes

Replace this text with a short note on what will change if this pull request is merged in which case this will be included in the release notes.

Checklist

• Copyright holder: Andrew Johnson

  The copyright holder is typically you or your assignee, such as a university or company. By submitting this pull request, the copyright holder is agreeing to the license the submitted work under the following licenses:
  - Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
  - Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)

• the basic tests are passing

  • unit tests pass (to run, use: ./runTests.py test/unit)
  • header checks pass, (make test-headers)
  • dependencies checks pass, (make test-math-dependencies)
  • docs build, (make doxygen)
  • code passes the built in C++ standards checks (make cpplint)

• the code is written in idiomatic C++ and changes are documented in the doxygen

• the new changes are tested

[andrjohns]

@spinkney would you have a look at the general signature/idea here? Not 100% that is the way to go, but I'm not sure of a better alternative

[stan-buildbot]

---

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.32	0.31	1.05	4.39% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	0.97	-3.29% slower
gp_regr/gen_gp_data.stan	0.03	0.02	1.12	10.83% faster
gp_regr/gp_regr.stan	0.1	0.09	1.04	3.45% faster
sir/sir.stan	72.93	71.01	1.03	2.64% faster
irt_2pl/irt_2pl.stan	4.21	4.17	1.01	0.83% faster
eight_schools/eight_schools.stan	0.06	0.06	1.01	1.01% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.25	1.0	0.22% faster
pkpd/one_comp_mm_elim_abs.stan	20.26	19.77	1.02	2.43% faster
garch/garch.stan	0.45	0.43	1.05	4.65% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.89	2.75	1.05	4.71% faster
arK/arK.stan	1.86	1.81	1.03	3.02% faster
gp_pois_regr/gp_pois_regr.stan	2.91	2.88	1.01	0.87% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	9.4	8.93	1.05	5.0% faster
performance.compilation	185.4	188.99	0.98	-1.94% slower
Mean result: 1.0277131269411455

---

Jenkins Console Log
Blue Ocean
Commit hash: ae79d13bb5a669624fb639d9bb15aef05c4c6f00

---

Machine information

No LSB modules are available. Distributor ID: Ubuntu Description: Ubuntu 20.04.3 LTS Release: 20.04 Codename: focal

CPU:
Architecture: x86_64
CPU op-mode(s): 32-bit, 64-bit
Byte Order: Little Endian
Address sizes: 46 bits physical, 48 bits virtual
CPU(s): 80
On-line CPU(s) list: 0-79
Thread(s) per core: 2
Core(s) per socket: 20
Socket(s): 2
NUMA node(s): 2
Vendor ID: GenuineIntel
CPU family: 6
Model: 85
Model name: Intel(R) Xeon(R) Gold 6148 CPU @ 2.40GHz
Stepping: 4
CPU MHz: 3259.121
CPU max MHz: 3700.0000
CPU min MHz: 1000.0000
BogoMIPS: 4800.00
Virtualization: VT-x
L1d cache: 1.3 MiB
L1i cache: 1.3 MiB
L2 cache: 40 MiB
L3 cache: 55 MiB
NUMA node0 CPU(s): 0,2,4,6,8,10,12,14,16,18,20,22,24,26,28,30,32,34,36,38,40,42,44,46,48,50,52,54,56,58,60,62,64,66,68,70,72,74,76,78
NUMA node1 CPU(s): 1,3,5,7,9,11,13,15,17,19,21,23,25,27,29,31,33,35,37,39,41,43,45,47,49,51,53,55,57,59,61,63,65,67,69,71,73,75,77,79
Vulnerability Gather data sampling: Mitigation; Microcode
Vulnerability Itlb multihit: KVM: Mitigation: VMX disabled
Vulnerability L1tf: Mitigation; PTE Inversion; VMX conditional cache flushes, SMT vulnerable
Vulnerability Mds: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Meltdown: Mitigation; PTI
Vulnerability Mmio stale data: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Reg file data sampling: Not affected
Vulnerability Retbleed: Mitigation; IBRS
Vulnerability Spec rstack overflow: Not affected
Vulnerability Spec store bypass: Mitigation; Speculative Store Bypass disabled via prctl
Vulnerability Spectre v1: Mitigation; usercopy/swapgs barriers and __user pointer sanitization
Vulnerability Spectre v2: Mitigation; IBRS; IBPB conditional; STIBP conditional; RSB filling; PBRSB-eIBRS Not affected; BHI Not affected
Vulnerability Srbds: Not affected
Vulnerability Tsx async abort: Mitigation; Clear CPU buffers; SMT vulnerable
Flags: fpu vme de pse tsc msr pae mce cx8 apic sep mtrr pge mca cmov pat pse36 clflush dts acpi mmx fxsr sse sse2 ss ht tm pbe syscall nx pdpe1gb rdtscp lm constant_tsc art arch_perfmon pebs bts rep_good nopl xtopology nonstop_tsc cpuid aperfmperf pni pclmulqdq dtes64 monitor ds_cpl vmx smx est tm2 ssse3 sdbg fma cx16 xtpr pdcm pcid dca sse4_1 sse4_2 x2apic movbe popcnt tsc_deadline_timer aes xsave avx f16c rdrand lahf_lm abm 3dnowprefetch cpuid_fault epb cat_l3 cdp_l3 invpcid_single pti intel_ppin ssbd mba ibrs ibpb stibp tpr_shadow vnmi flexpriority ept vpid ept_ad fsgsbase tsc_adjust bmi1 hle avx2 smep bmi2 erms invpcid rtm cqm mpx rdt_a avx512f avx512dq rdseed adx smap clflushopt clwb intel_pt avx512cd avx512bw avx512vl xsaveopt xsavec xgetbv1 xsaves cqm_llc cqm_occup_llc cqm_mbm_total cqm_mbm_local dtherm ida arat pln pts hwp hwp_act_window hwp_epp hwp_pkg_req pku ospke md_clear flush_l1d arch_capabilities

G++:
g++ (Ubuntu 9.4.0-1ubuntu1~20.04) 9.4.0
Copyright (C) 2019 Free Software Foundation, Inc.
This is free software; see the source for copying conditions. There is NO
warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.

Clang:
clang version 10.0.0-4ubuntu1
Target: x86_64-pc-linux-gnu
Thread model: posix
InstalledDir: /usr/bin