Feature/issue 2966 add 7 parameter ddm cdf and ccdf #3042

Franzi2114 · 2024-03-29T18:34:09Z

Summary

With this PR the CDF and the CCDF of the 7-parameter diffuion model are added.
See issue #2966
Relates to issue #2822

Tests

We implemented analogous tests as for the PDF

Side Effects

no

Release notes

CDF and CCDF for the 7-parameter diffusion model. Allows modeling truncated and censored data.

Checklist

Copyright holder: Franziska Henrich, Christoph Klauer

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

merge develop.

…-7-parameter-DDM-CDF-and-CCDF merge PDF branch

merge develop with wiener_lpdf

Franzi2114 · 2024-04-12T10:25:27Z

Few Qs

You can continue. I changed some aspects regarding the structure.

stan-buildbot · 2024-04-12T18:19:51Z

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.19	0.18	1.07	6.12% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	1.15	13.19% faster
gp_regr/gen_gp_data.stan	0.02	0.02	1.08	7.25% faster
gp_regr/gp_regr.stan	0.11	0.1	1.06	5.93% faster
sir/sir.stan	76.72	74.37	1.03	3.06% faster
irt_2pl/irt_2pl.stan	3.84	3.97	0.97	-3.56% slower
eight_schools/eight_schools.stan	0.05	0.05	1.01	1.3% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.24	1.04	3.42% faster
pkpd/one_comp_mm_elim_abs.stan	18.02	17.71	1.02	1.72% faster
garch/garch.stan	0.45	0.44	1.03	2.53% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.76	2.73	1.01	1.29% faster
arK/arK.stan	1.63	1.6	1.02	2.1% faster
gp_pois_regr/gp_pois_regr.stan	2.48	2.47	1.0	0.45% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	9.16	8.85	1.04	3.43% faster
performance.compilation	175.17	176.97	0.99	-1.02% slower
Mean result: 1.0341338404824363

Jenkins Console Log
Blue Ocean
Commit hash: fb02dc7240781e4fe7ea4bc1fb4e06e70079765a

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

SteveBronder

I have a few Qs about the design of some of the functions. I'm seeing a lot of if statements on conditions. It's unclear which exist as an optimization and which exist to stop NaN or Infinite.

If it's an optimization then tbh I'd rather we remove it and just have one path. Often these branches are very expensive for the compiler to take since they can change each iteration. Having one linear path makes things simpler for the compiler even if it involves a extra computation.

If there are places where there are massive saves from a branch then I'm open to it if they have greater than or less than as those are not unlikely. But the odds of a parameter being an exact value are very low so those branches have a very low odds of being taken

SteveBronder · 2024-04-19T19:07:08Z

stan/math/prim/prob/wiener4_lccdf.hpp

+inline auto wiener_prob_grad_a(const T_a& a, const T_v& v,
+                               const T_w& w) noexcept {


This is used once so I'd inline this as well. I think it would be fine to just comment above the section

// derivative of the wiener probability w.r.t. 'a' (on log-scale)

Ok. I inlined the three partial derivatives.

SteveBronder · 2024-04-19T19:09:32Z

stan/math/prim/prob/wiener4_lccdf.hpp

+ */
+template <typename T_a, typename T_w, typename T_v>
+inline auto wiener_prob(const T_a& a, const T_v& v_value,
+                        const T_w& w_value) noexcept {


I'd remove the noexcepts on these. It's unlikely, but for any function that can hold an autodiff type we call malloc sometimes and our code to call malloc can throw an exception if the user runs out of memory. The exception is a program terminating one, but with noexcept here the program would just crash if it hit the exception instead of reporting the out of memory issue.

Ok. For which functions shall I delete the noexcept? I now deleted it for wiener_prob. When do we use noexcept?

You only want to use noexcept when the function is guranteed to not throw an exception. It just tells the compiler, "I promise I cannot throw an exception here" so then the compiler can do optimizations.

For anything that uses Eigen matrices we can possibly throw an exception. It's good for simpler functions where you can say for certain there cannot be an exception thrown.

Hm. But in this wiener_prob function I do not see a term like Eigen or Matrix. And in the other functions in this file neither. So, every function can keep its noexcept?

Yes but it can call malloc and that would cause an exception

SteveBronder · 2024-04-19T19:13:58Z

stan/math/prim/prob/wiener4_lccdf.hpp

+  if (exponent < 0) {
+    return ret_t(log1m_exp(exponent) - log_diff_exp(2 * v * a * w, exponent));
+  } else {
+    return ret_t(log1m_exp(-exponent) - log1m_exp(2 * v * a));
+  }


I'm kind of confused by these cutpoints. Is this because the derivative is ill defined at certain areas or is this a math optimization

Yes, this is a math optimization and should stay.

The if statement here could be more more expensive than the ops that are saved. I'd remove all of these and just keep things simple. It also just becomes really hard to read and maintain with all of these if statements in the code

Results are more robust when we have this case distinction. They both shall compute the same result, but when exponent < 0 then the upper case is more robust and when exponent >=0 the lower case is more robust. We could insert a comment on this to make the case distinction clear.

What do you mean by robust here?

Numerically robust.

SteveBronder · 2024-04-19T19:17:22Z

stan/math/prim/prob/wiener4_lccdf.hpp

+  if (fabs(v) == 0.0) {
+    return ret_t(0.0);
+  }


What are the odds v will be exactly 0? I think this path is unlikely and would remove it.

In general, the odds a parameter takes on any given single value is very low so I would remove if statements like this. 99.9% of the time they won't be taken and forces the compiler to do a check and branch that is often unnecessary

The user can call the model with a fixed value for v. In some cases the user could want to set v=0 for his tests. Then, v will not be estimated and is constant at 0. For this case we need these if-statements.

Would a value of 0 for v cause the rest of the code to error out? If not then remove these if statements

I removed all spots where it is not necessary. One spot is still needed in wiener_prob to not cause an error.

SteveBronder · 2024-04-19T19:32:26Z

stan/math/prim/prob/wiener4_lccdf.hpp

+inline auto wiener_prob_derivative_term(const T_a& a, const T_v& v_value,
+                                        const T_w& w_value) noexcept {
+  using ret_t = return_type_t<T_a, T_w, T_v>;
+  const auto exponent_m1 = log1p(-1.1 * 1.0e-8);


Where does this hard coded value come from?

This hard coded value is connected to the internal precision of this computation.

Does it have 1e-8 precision? I'm asking where that number comes from

Here, I have to correct myself.
This term serves also numerical stability. We test whether the exponents are larger than this small value. If this is the case, then they are negative and very near to 0. In the limit, when the exponents go to 0, the result is -w. As we later have to divide by the exponents, we would have to divide by nealry zero. Therefore, we do this check and return -w for exponents very near to zero to make compuatations more stable.

Going to have to tag @bob-carpenter here as I'm unsure of how we usually handle things like this.

Bob the value exponent_m1 is essentially -1.1e-08. When we do the calculations starting on line 62 we check that each of the exponents are greater than this value. If any of those values are less than -1.1e-08 then the code returns -w.

As we later have to divide by the exponents, we would have to divide by nearly zero.

Sorry where in this code is the divide happening? Everything is on the log scale here so division is just turning into subtraction

Franzi2114 · 2024-05-09T10:10:08Z

@SteveBronder: Is the code better now?
Why does the stan-buildbot comment after each push?

merge develop with new hcubature

Franzi2114 · 2024-06-07T08:16:38Z

Hey @SteveBronder, is the code ok now or shall I change some more things?

Franzi2114 · 2024-06-14T08:14:53Z

Hey @SteveBronder, which changes would you like to have before continuing?

SteveBronder

I had another look today. @andrjohns can you look at this code? I'm not super familiar with why a lot of the branches here exist so it's pretty difficult for me to review

stan/math/prim/prob/wiener4_lccdf.hpp

SteveBronder · 2024-06-18T16:58:46Z

stan/math/prim/prob/wiener4_lccdf.hpp

+inline auto wiener_prob_derivative_term(const T_a& a, const T_v& v_value,
+                                        const T_w& w_value) noexcept {
+  using ret_t = return_type_t<T_a, T_w, T_v>;
+  const auto exponent_m1 = log1p(-1.1 * 1.0e-8);


Going to have to tag @bob-carpenter here as I'm unsure of how we usually handle things like this.

Bob the value exponent_m1 is essentially -1.1e-08. When we do the calculations starting on line 62 we check that each of the exponents are greater than this value. If any of those values are less than -1.1e-08 then the code returns -w.

As we later have to divide by the exponents, we would have to divide by nearly zero.

Sorry where in this code is the divide happening? Everything is on the log scale here so division is just turning into subtraction

stan/math/prim/prob/wiener4_lccdf.hpp

SteveBronder · 2024-06-18T18:46:51Z

stan/math/prim/prob/wiener4_lcdf.hpp

+template <typename T_x>
+inline auto rexp(T_x&& x) noexcept {
+  return (x <= 700) ? exp(x) : exp(700);
+}


Tagging @andrjohns do we do things like this anywhere else in Stan math? tmk we just check if it would overflow and if so we normally just return +/- inf or we let it overflow

stan/math/prim/prob/wiener4_lcdf.hpp

SteveBronder · 2024-06-18T18:52:59Z

stan/math/prim/prob/wiener4_lcdf.hpp

+inline auto log_probability_distribution(const T_a& a, const T_v& v,
+                                         const T_w& w) noexcept {
+  using ret_t = return_type_t<T_a, T_w, T_v>;
+  auto nearly_one = ret_t(1.0 - 1.0e-6);


@bob-carpenter this is another spot where I'm getting a bit confused. Here the code is checking if we are within 1.0e-6 of 1 and then branching off of that. How do we normally handle cases like this?

Franzi2114 · 2024-06-28T12:24:57Z

Hey @SteveBronder, I worked through your suggestions and pushed a new version. Is it good for these points?
@andrjohns and @bob-carpenter, what do you think on the points above?

stan-buildbot · 2024-06-28T19:38:42Z

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.35	0.35	1.01	1.37% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	0.99	-0.98% slower
gp_regr/gen_gp_data.stan	0.03	0.02	1.21	17.51% faster
gp_regr/gp_regr.stan	0.1	0.1	1.01	1.23% faster
sir/sir.stan	70.03	70.0	1.0	0.04% faster
irt_2pl/irt_2pl.stan	4.13	4.11	1.01	0.52% faster
eight_schools/eight_schools.stan	0.06	0.06	0.98	-2.11% slower
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.25	0.98	-2.24% slower
pkpd/one_comp_mm_elim_abs.stan	19.14	18.6	1.03	2.84% faster
garch/garch.stan	0.43	0.41	1.05	4.87% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.68	2.59	1.04	3.53% faster
arK/arK.stan	1.78	1.7	1.05	4.6% faster
gp_pois_regr/gp_pois_regr.stan	2.82	2.72	1.04	3.62% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.65	8.34	1.04	3.66% faster
performance.compilation	182.65	181.36	1.01	0.7% faster
Mean result: 1.029312367432566

Jenkins Console Log
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Commit hash: 1e343a702bf5d5690bf6d77b9ea703b43463162b

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

Franzi2114 and others added 27 commits November 30, 2023 11:56

Merge branch 'develop' into issue-2966-Add-7-parameter-DDM-CDF-and-CCDF

26ed582

merge develop.

CDF and CCDF function files

a080ab8

unit prim prob tests

eee7267

mix tests

8483c39

header and clang format

5ecf546

include

8f085b8

include

f274c18

include

f68fe16

correct includes

10feb1f

uncomment tests

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minor changes tests

363eb42

correct wiener5

2e1febf

merge PDF branch

287472c

merge pdf

1138571

Merge branch 'issue-2682-Add-7-parameter-DDM-PDF' into issue-2966-Add…

4fc8fdb

…-7-parameter-DDM-CDF-and-CCDF merge PDF branch

PDF style

721f181

cdf in pdf style

bcc361e

delete obsolete initializers

d14a5d8

all tests pass

cda2f6e

Merge branch 'develop' into issue-2966-Add-7-parameter-DDM-CDF-and-CCDF

22146d7

merge develop with wiener_lpdf

ccdf umbauen

22bbb18

lccdf prim test pass

466b2d2

ret_t

b5bcb06

linhart cite

71e7825

Merge commit '35d6d53545bf382b1bf8e5ea7a04469310892a2a' into HEAD

401c7a7

[Jenkins] auto-formatting by clang-format version 10.0.0-4ubuntu1

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add brace

b65af9c

Franzi2114 requested a review from SteveBronder March 29, 2024 18:41

Franzi2114 added 2 commits March 29, 2024 19:47

add whitespaces

1b14f78

add params to docu

6cd53f2

Franzi2114 and others added 4 commits April 12, 2024 10:40

restore hypergemoetric files

632a0b8

less includes

30f6c85

[Jenkins] auto-formatting by clang-format version 10.0.0-4ubuntu1

8a44586

reduce and inline some functions

13e4fbf

stan-buildbot and others added 4 commits April 12, 2024 06:25

[Jenkins] auto-formatting by clang-format version 10.0.0-4ubuntu1

1bb3bd5

whitespace error

d756c4a

correct braces

f105313

some minor changes

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Franzi2114 and others added 3 commits May 9, 2024 12:08

more inlines

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Merge commit '1830097a0de00b5322277b923fd6fb913050a90f' into HEAD

70bc628

[Jenkins] auto-formatting by clang-format version 10.0.0-4ubuntu1

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Franzi2114 added 2 commits May 9, 2024 13:18

delete one ret_t

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using ret_t

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Merge branch 'develop' into issue-2966-Add-7-parameter-DDM-CDF-and-CCDF

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merge develop with new hcubature

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SteveBronder requested changes Jun 18, 2024

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Franzi2114 and others added 2 commits June 28, 2024 14:23

use std_normal_log, _lcdf, slice derive_y, shorter ifs

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Merge commit 'af63738e6a62b9090188fd79592bfdfadf594705' into HEAD

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[Jenkins] auto-formatting by clang-format version 10.0.0-4ubuntu1

46c7a1e

		inline auto wiener_prob_grad_a(const T_a& a, const T_v& v,
		const T_w& w) noexcept {

Feature/issue 2966 add 7 parameter ddm cdf and ccdf #3042

Are you sure you want to change the base?

Feature/issue 2966 add 7 parameter ddm cdf and ccdf #3042

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Franzi2114 commented Mar 29, 2024 • edited Loading

Summary

Tests

Side Effects

Release notes

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Franzi2114 commented Apr 12, 2024

stan-buildbot commented Apr 12, 2024

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Franzi2114 commented May 9, 2024

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Franzi2114 commented Jun 7, 2024

Franzi2114 commented Jun 14, 2024

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Franzi2114 commented Jun 28, 2024

stan-buildbot commented Jun 28, 2024

Franzi2114 commented Mar 29, 2024 •

edited

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