Lots of activity this week, as usual.

* Lots of people got involved in pushing Stan 2.16 and interfaces out the door; Sean Talts got the math library, Stan library (that’s the language, inference algorithms, and interface infrastructure), and CmdStan out, while Allen Riddell got PyStan 2.16 out and Ben Goodrich and Jonah Gabry are tackling RStan 2.16

* Stan 2.16 is the last series of releases that will not require C++11; let the coding fun begin!

* Ari Hartikainen (of Aalto University) joined the Stan dev team—he’s working with Allen Riddell on PyStan, where judging from the pull request traffic, he put in a lot of work on the 2.16 release. Welcome!

* Imad Ali’s working on adding more cool features to RStanArm including time series and spatial models; yesterday he and Mitzi were scheming to get intrinsic conditional autoregressive models in and I heard all those time series name flying around (like ARIMA)

* Michael Betancourt rearranged the Stan web site with some input from me and Andrew; Michael added more descriptive text and Sean Talts managed to get the redirects in so all of our links aren’t broken; let us know what you think

* Markus Ojala of Smartly wrote a case study on their blog, Tutorial: How We Productized Bayesian Revenue Estimation with Stan

* Mitzi Morris got in the pull request for adding compound assignment and arithmetic; this adds statements such as `n += 1`

.

* lots of chatter about characterization tests and a pull request from Daniel Lee to update some of update some of our our existing performance tests

* Roger Grosse from U.Toronto visited to tell us about his, Siddharth Ancha, and Daniel Roy’s 2016 NIPS paper on testing MCMC using bidirectional Monte Carlo sampling; we talked about how he modified Stan’s sampler to do annealed importance sampling

* GPU integration continues apace

* I got to listen in on Michael Betancourt and Maggie Lieu of the European Space Institute spend a couple days hashing out astrophysics models; Maggie would really like us to add integrals.

* Speaking of integration, Marco Inacio has updated his pull request; Michael’s worried there may be numerical instabilities, because trying to calculate arbitrary bounded integrals is not so easy in a lot of cases

* Andrew continues to lobby for being able to write priors directly into parameter declarations; for example, here’s what a hierarchical prior for `beta`

might look like

parameters { real mu ~ normal(0, 2); realsigma ~ student_t(4, 0, 2); vector[N] beta ~ normal(mu, sigma); }

* I got the go-ahead on adding foreach loops; Mitzi Morris will probably be coding them. We’re talking about

real ys[N]; ... for (y in ys) target += log_mix(lambda, normal_lpdf(y | mu[1], sigma[1]), normal_lpdf(y | mu[2], sigma[2]));

* Kalman filter case study by Jouni Helske was discussed on Discourse

* Rob Trangucci rewrote the Gaussian processes chapter of the Stan manual; I’m to blame for the first version, writing it as I was learning GPs. For some reason, it’s not up on the web page doc yet.

* This is a very ad hoc list. I’m sure I missed lots of good stuff, so feel free to either send updates to me directly for next week’s letter or add things to comments. This project’s now way too big for me to track all the activity!

Bob:

Wow, this is awesome! Thanks for posting it.

>>>write priors directly into parameter declarations<<<

This would be great! Very natural to the flow.

Very exciting! Would even the roughest of ETAs on the spatial/temporal autocorrelation models in RStanArm be possible? Just curious :)

Release after next

Have been surprised that in the talk of using Stan with time series and Kalman filtering no one seems to point to this:

https://github.com/sinhrks/stan-statespace

It implements all of the examples in:

“An Introduction to State Space Time Series Analysis” by Koopman and Commandeur

in Stan.

Thanks for pointing that out. I didn’t know about it. I’ll take a look and see if they’re reasonable Stan programs and if so link from our doc and if not, send some suggestions to the author.

Jeffrey Arnold has also written some statespace models, and we’ve also discussed HMM models on the mailing list (like movement models for ecology).

Hi Bob:

Can you possibly link to the stuff Jeffrey Arnold has done that you mention. Not that I will ever get around to any of this, but you never know.

https://github.com/jrnold/ssmodels-in-stan