Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Feature/1263 update stansummary to report rank-normalized ESS tail, ESS bulk, max abs deviation(MAD), and Rhat #1290

Draft
wants to merge 29 commits into
base: develop
Choose a base branch
from
Draft

Feature/1263 update stansummary to report rank-normalized ESS tail, ESS bulk, max abs deviation(MAD), and Rhat #1290

wants to merge 29 commits into from

Conversation

mitzimorris
Copy link
Member

Submisison Checklist

  • Run tests: ./runCmdStanTests.py src/test
  • Declare copyright holder and open-source license: see below

Summary:

Convergence diagnostics reported by stansummary utility use split-rank-normalized Rhat and ESS, following paper https://arxiv.org/pdf/1903.08008.

Intended Effect:

Better convergence diagnostics.

How to Verify:

Unit tests

Side Effects:

Output of bin/stansummary will have different set of columns, and slightly different messages.

Documentation:

Separate PR

Copyright and Licensing

Please list the copyright holder for the work you are submitting (this will be you or your assignee, such as a university or company): Columbia University

By submitting this pull request, the copyright holder is agreeing to license the submitted work under the following licenses:

@mitzimorris mitzimorris marked this pull request as draft August 5, 2024 17:23
@mitzimorris
Copy link
Member Author

This PR is a WIP and will fail until Stan PR stan-dev/stan#3305 is merged.

@stan-buildbot
Copy link
Contributor

Name Old Result New Result Ratio Performance change( 1 - new / old )
arma/arma.stan 0.31 0.31 1.01 0.63% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan 0.01 0.01 1.0 -0.15% slower
gp_regr/gen_gp_data.stan 0.02 0.02 1.06 5.23% faster
gp_regr/gp_regr.stan 0.09 0.09 1.03 2.48% faster
sir/sir.stan 65.97 65.91 1.0 0.09% faster
irt_2pl/irt_2pl.stan 3.95 3.95 1.0 0.23% faster
eight_schools/eight_schools.stan 0.06 0.05 1.02 2.3% faster
pkpd/sim_one_comp_mm_elim_abs.stan 0.24 0.23 1.01 0.94% faster
pkpd/one_comp_mm_elim_abs.stan 18.69 18.96 0.99 -1.46% slower
garch/garch.stan 0.41 0.41 1.01 0.64% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan 2.62 2.61 1.0 0.37% faster
arK/arK.stan 1.72 1.72 1.0 -0.04% slower
gp_pois_regr/gp_pois_regr.stan 2.75 2.76 1.0 -0.36% slower
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan 8.46 8.45 1.0 0.15% faster
performance.compilation 178.82 177.98 1.0 0.47% faster
Mean result: 1.00798272484638

Jenkins Console Log
Blue Ocean
Commit hash: 2cd95be39b0482d0fedb7fe9a1e8c77b7084592a

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: 2400.000
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 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
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

WardBrian
WardBrian requested changes Aug 5, 2024
View reviewed changes
src/cmdstan/stansummary_helper.hpp
@@ -702,14 +558,17 @@ void write_sampler_info(const stan::io::stan_csv_metadata &metadata,
*out << prefix << "Samples were drawn using " << metadata.algorithm
<< " with " << metadata.engine << "." << std::endl;
*out << prefix
<< "For each parameter, N_Eff is a crude measure of effective "
"sample size,"
<< "For each parameter, N_Eff_bulk and N_Eff_tail measure the "
Copy link
Member

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

Want to tack #916 on to this?

Copy link
Member Author

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

yes, definitely!

src/cmdstan/stansummary_helper.hpp Outdated
header.at(0) = "Mean";
header.at(1) = "MCSE";
header.at(2) = "StdDev";
header.at(2) = "MaxAbsDev";
Copy link
Member

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

I understand the rhat/ess changes are mostly replacements, but do we really not want to report standard deviations any more?

Copy link
Member Author

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

excellent question. do both? should it be "MaxAbsDev" or "MAD" ? I had to look up MAD in the R ecosystem docs; it's a different view on how spread out the posterior distribution is.

Copy link
Member

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

I’m not familiar with MAD, but both always seems like a safe option

Copy link
Member Author

Choose a reason for hiding this comment

The reason will be displayed to describe this comment to others. Learn more.

The text explaining ESS and Rhat could be updated to include descriptions of MCSE and MAD.

src/cmdstan/stansummary_helper.hpp Outdated Show resolved Hide resolved
src/test/interface/stansummary_test.cpp Outdated Show resolved Hide resolved
@mitzimorris
Copy link
Member Author

changes to stansummary are running afoul of this PR: #972
requires more smarts in stan's stan_csv_reader.

@stan-buildbot
Copy link
Contributor

Name Old Result New Result Ratio Performance change( 1 - new / old )
arma/arma.stan 0.32 0.31 1.05 4.93% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan 0.01 0.01 0.95 -5.02% slower
gp_regr/gen_gp_data.stan 0.03 0.03 0.99 -0.69% slower
gp_regr/gp_regr.stan 0.09 0.1 0.98 -1.62% slower
sir/sir.stan 67.32 67.14 1.0 0.27% faster
irt_2pl/irt_2pl.stan 4.0 3.99 1.0 0.07% faster
eight_schools/eight_schools.stan 0.06 0.06 1.05 4.58% faster
pkpd/sim_one_comp_mm_elim_abs.stan 0.25 0.26 0.96 -4.29% slower
pkpd/one_comp_mm_elim_abs.stan 19.09 18.74 1.02 1.8% faster
garch/garch.stan 0.42 0.41 1.03 2.94% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan 2.63 2.61 1.0 0.41% faster
arK/arK.stan 1.74 1.72 1.01 1.09% faster
gp_pois_regr/gp_pois_regr.stan 2.76 2.69 1.02 2.43% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan 8.49 8.49 1.0 -0.0% slower
performance.compilation 192.72 189.73 1.02 1.55% faster
Mean result: 1.0064011728259634

Jenkins Console Log
Blue Ocean
Commit hash: 2c8bf6d3d4fe497e1d8ff310ce5e5f26b1925faa

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: 3486.703
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

@stan-buildbot
Copy link
Contributor

Name Old Result New Result Ratio Performance change( 1 - new / old )
arma/arma.stan 0.36 0.31 1.19 15.73% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan 0.01 0.01 0.99 -1.4% slower
gp_regr/gen_gp_data.stan 0.03 0.03 1.01 0.72% faster
gp_regr/gp_regr.stan 0.09 0.09 1.02 1.75% faster
sir/sir.stan 66.28 66.13 1.0 0.22% faster
irt_2pl/irt_2pl.stan 3.97 3.95 1.01 0.57% faster
eight_schools/eight_schools.stan 0.06 0.05 1.02 1.85% faster
pkpd/sim_one_comp_mm_elim_abs.stan 0.24 0.24 0.99 -0.65% slower
pkpd/one_comp_mm_elim_abs.stan 18.69 18.66 1.0 0.17% faster
garch/garch.stan 0.41 0.41 1.01 1.13% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan 2.59 2.6 1.0 -0.2% slower
arK/arK.stan 1.75 1.7 1.03 2.79% faster
gp_pois_regr/gp_pois_regr.stan 2.68 2.67 1.0 0.29% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan 8.4 8.38 1.0 0.3% faster
performance.compilation 176.72 176.91 1.0 -0.11% slower
Mean result: 1.0175108841935923

Jenkins Console Log
Blue Ocean
Commit hash: 2c8bf6d3d4fe497e1d8ff310ce5e5f26b1925faa

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: 2400.000
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

@mitzimorris mitzimorris changed the title Feature/1263 update stansummary to report bulk_ESS, tail_ESS, bulk_Rhat, tail_Rhat, maximum absolute deviation Feature/1263 update stansummary to report rank-normalized ESS tail, ESS bulk, max abs deviation(MAD), and Rhat Sep 27, 2024
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Reviewers

@WardBrian WardBrian WardBrian requested changes

Requested changes must be addressed to merge this pull request.

Assignees
No one assigned
Labels
None yet
Projects
None yet
Milestone
No milestone
Development

Successfully merging this pull request may close these issues.
4 participants
@mitzimorris @stan-buildbot @WardBrian @yashikno