Fix: Eigen double to matrix var assignment #3049

SteveBronder · 2021-07-14T18:23:06Z

Submission Checklist

Run unit tests: ./runTests.py src/test/unit
Run cpplint: make cpplint
Declare copyright holder and open-source license: see below

Summary

This fixes the assign() errors from stan-dev/stanc3#898 for doing var<Matrix> = Eigen::Matrix<double>. Combining this with stan-dev/math#2535 removed the errors on the sample of test models I tried out in the stanc test suite that were previously failing.

Explicit paths had to be added in the callbacks for assignment using index_uni and index_multi. For all the other functions I wrote a assign_impl() function that is just A = B for all cases besides var<Matrix> = Eigen::Matrix<double>. For that case we do a procedure to update the var values and then in a reverse pass callback put back the old values and reset the adjoints to zero.

Intended Effect

Allow assignment from Eigen::Matrix<double> to var<Matrix> in the stanc generated C++.

How to Verify

All the old tests for var<Matrix> assignment were pulled out and made into functions that test assignment from both a var<Eigen::Matrix<double>> and Eigen::Matrix<double>. These can be run with

./runTests.py ./src/test/unit/model/indexing/assign_varmat_test.cpp

Side Effects

None

Documentation

Docs added for new assign_impl() function.

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): Steve Bronder

By submitting this pull request, the copyright holder is agreeing to 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/)

…4.1 (tags/RELEASE_600/final)

…dev/stan into fix/matrix-var-eigen-double-assign

stan-buildbot · 2021-07-14T21:07:27Z

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
gp_pois_regr/gp_pois_regr.stan	3.17	3.08	1.03	2.81% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.02	0.02	0.99	-0.51% slower
eight_schools/eight_schools.stan	0.11	0.12	0.98	-2.4% slower
gp_regr/gp_regr.stan	0.16	0.16	0.99	-0.79% slower
irt_2pl/irt_2pl.stan	5.91	5.94	0.99	-0.57% slower
performance.compilation	89.05	86.84	1.03	2.48% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.57	9.06	0.95	-5.73% slower
pkpd/one_comp_mm_elim_abs.stan	30.02	29.47	1.02	1.82% faster
sir/sir.stan	130.55	128.36	1.02	1.68% faster
gp_regr/gen_gp_data.stan	0.03	0.03	1.0	-0.21% slower
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.99	3.02	0.99	-1.06% slower
pkpd/sim_one_comp_mm_elim_abs.stan	0.41	0.4	1.04	4.14% faster
arK/arK.stan	2.55	2.53	1.01	0.86% faster
arma/arma.stan	0.65	0.65	1.0	-0.15% slower
garch/garch.stan	0.64	0.64	1.0	-0.02% slower
Mean result: 1.00208451384

Jenkins Console Log
Blue Ocean
Commit hash: e0f289e

Machine information

ProductName: Mac OS X ProductVersion: 10.11.6 BuildVersion: 15G22010

CPU:
Intel(R) Xeon(R) CPU E5-1680 v2 @ 3.00GHz

G++:
Configured with: --prefix=/Applications/Xcode.app/Contents/Developer/usr --with-gxx-include-dir=/usr/include/c++/4.2.1
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

Clang:
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

src/stan/model/indexing/assign_varmat.hpp

src/stan/model/indexing/assign.hpp

src/test/unit/model/indexing/util.hpp

src/stan/model/indexing/assign_varmat.hpp

…4.1 (tags/RELEASE_600/final)

stan-buildbot · 2021-07-15T23:53:31Z

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
gp_pois_regr/gp_pois_regr.stan	3.06	3.08	0.99	-0.55% slower
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.02	0.02	0.96	-3.7% slower
eight_schools/eight_schools.stan	0.11	0.11	0.99	-0.57% slower
gp_regr/gp_regr.stan	0.16	0.16	0.98	-1.83% slower
irt_2pl/irt_2pl.stan	5.87	5.93	0.99	-1.06% slower
performance.compilation	87.75	86.61	1.01	1.3% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.64	8.59	1.01	0.67% faster
pkpd/one_comp_mm_elim_abs.stan	29.1	30.16	0.96	-3.64% slower
sir/sir.stan	128.25	132.64	0.97	-3.42% slower
gp_regr/gen_gp_data.stan	0.03	0.03	1.0	-0.44% slower
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.99	2.99	1.0	-0.14% slower
pkpd/sim_one_comp_mm_elim_abs.stan	0.38	0.41	0.94	-6.09% slower
arK/arK.stan	2.55	2.54	1.0	0.26% faster
arma/arma.stan	0.65	0.65	1.0	0.25% faster
garch/garch.stan	0.64	0.64	1.0	0.15% faster
Mean result: 0.988003723293

Jenkins Console Log
Blue Ocean
Commit hash: 247940a

Machine information

ProductName: Mac OS X ProductVersion: 10.11.6 BuildVersion: 15G22010

CPU:
Intel(R) Xeon(R) CPU E5-1680 v2 @ 3.00GHz

G++:
Configured with: --prefix=/Applications/Xcode.app/Contents/Developer/usr --with-gxx-include-dir=/usr/include/c++/4.2.1
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

Clang:
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

src/stan/model/indexing/assign.hpp

src/stan/model/indexing/assign_varmat.hpp

t4c1

a few more

…4.1 (tags/RELEASE_600/final)

stan-buildbot · 2021-07-16T16:30:15Z

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
gp_pois_regr/gp_pois_regr.stan	3.07	3.07	1.0	-0.12% slower
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.02	0.02	0.97	-2.98% slower
eight_schools/eight_schools.stan	0.11	0.12	0.97	-3.58% slower
gp_regr/gp_regr.stan	0.16	0.16	1.0	-0.48% slower
irt_2pl/irt_2pl.stan	5.88	5.94	0.99	-1.02% slower
performance.compilation	89.31	86.71	1.03	2.9% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.56	8.56	1.0	0.07% faster
pkpd/one_comp_mm_elim_abs.stan	29.42	28.91	1.02	1.76% faster
sir/sir.stan	128.75	126.78	1.02	1.53% faster
gp_regr/gen_gp_data.stan	0.03	0.03	1.01	0.69% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	3.01	3.05	0.99	-1.47% slower
pkpd/sim_one_comp_mm_elim_abs.stan	0.39	0.42	0.92	-8.92% slower
arK/arK.stan	2.55	2.56	0.99	-0.54% slower
arma/arma.stan	0.65	0.65	1.0	-0.49% slower
garch/garch.stan	0.65	0.64	1.02	1.92% faster
Mean result: 0.99361869631

Jenkins Console Log
Blue Ocean
Commit hash: 7cf50a2

Machine information

ProductName: Mac OS X ProductVersion: 10.11.6 BuildVersion: 15G22010

CPU:
Intel(R) Xeon(R) CPU E5-1680 v2 @ 3.00GHz

G++:
Configured with: --prefix=/Applications/Xcode.app/Contents/Developer/usr --with-gxx-include-dir=/usr/include/c++/4.2.1
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

Clang:
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

SteveBronder · 2021-07-19T17:05:13Z

Shoot it won't let me click the merge button, can someone click it?

SteveBronder added 2 commits July 14, 2021 02:01

Makes Eigen::Matrix<double> assignable to var_value<Matrix>

7d8c8ac

cleanup and doc

51bfc0b

SteveBronder requested a review from t4c1 July 14, 2021 18:24

stan-buildbot and others added 3 commits July 14, 2021 18:35

[Jenkins] auto-formatting by clang-format version 6.0.0-1ubuntu2~16.0…

e50e636

…4.1 (tags/RELEASE_600/final)

update rvalue test to use check_adjs instead of check_matrix_adjs

4221d71

Merge branch 'fix/matrix-var-eigen-double-assign' of github.com:stan-…

e0f289e

…dev/stan into fix/matrix-var-eigen-double-assign

t4c1 requested changes Jul 15, 2021

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t4c1 reviewed Jul 15, 2021

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SteveBronder and others added 3 commits July 15, 2021 17:14

simplify template logic for assign_impl

254e0e8

fix review comments

d101a51

[Jenkins] auto-formatting by clang-format version 6.0.0-1ubuntu2~16.0…

247940a

…4.1 (tags/RELEASE_600/final)

t4c1 reviewed Jul 16, 2021

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t4c1 requested changes Jul 16, 2021

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SteveBronder and others added 3 commits July 16, 2021 11:46

Fix template header require

d6729a4

Fix template header require

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[Jenkins] auto-formatting by clang-format version 6.0.0-1ubuntu2~16.0…

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…4.1 (tags/RELEASE_600/final)

t4c1 approved these changes Jul 19, 2021

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rok-cesnovar merged commit 35fd563 into develop Jul 19, 2021

rok-cesnovar deleted the fix/matrix-var-eigen-double-assign branch July 19, 2021 17:18

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Fix: Eigen double to matrix var assignment #3049

Fix: Eigen double to matrix var assignment #3049

SteveBronder commented Jul 14, 2021

stan-buildbot commented Jul 14, 2021

stan-buildbot commented Jul 15, 2021

t4c1 left a comment

stan-buildbot commented Jul 16, 2021

SteveBronder commented Jul 19, 2021

Fix: Eigen double to matrix var assignment #3049

Fix: Eigen double to matrix var assignment #3049

Conversation

SteveBronder commented Jul 14, 2021

Submission Checklist

Summary

Intended Effect

How to Verify

Side Effects

Documentation

Copyright and Licensing

stan-buildbot commented Jul 14, 2021

stan-buildbot commented Jul 15, 2021

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stan-buildbot commented Jul 16, 2021

SteveBronder commented Jul 19, 2021