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Stan Weekly Roundup, 22 September 2017

This week (and a bit from last week) in Stan:

  • Paul-Christian Bürkner‘s paper on brms (a higher-level interface to RStan, which preceded rstanarm and is still widely used and recommended by our own devs) was just published as a JStatSoft article. If you follow the link, the abstract explains what brms does.

  • Ben Goodrich and Krzysztof Sakrejda have been working on standalone functions in RStan. The bottleneck has been random number generators. As an application, users want to write Stan functions that they can use for efficient calculations inside R; it’s easier than C++ and we have a big stats library with derivatives backing it up.

  • Ben Goodrich has also been working on multi-threading capabilities for RStan.

  • Sean Talts has been continuing the wrestling match with continuous integration. Headaches continue from new compiler versions, Travis timeouts, and fragile build scripts.

  • Sean Talts has been working with Sebastian code reviewing MPI. The goal is to organize the code so that it’s easy to test and maintain (the two go together in well written code along with readability and crisp specs for the API boundaries).

  • Sean Talts has been working on his course materials for Simulation-Based Algorithmic Calibration (SBAC), the new name for applying the diagnostic of Cook et al.

  • Bob Carpenter has been working on writing a proper language spec for Stan looking forward to tuples, ragged and sparse structures, and functions for Stan 3. That’s easy; the denotational semantics will be more challenging as it has to be generic in terms of types and discuss how Stan compiles to a function with transforms.

  • Bob Carpenter has also been working on getting variable declarations through the model concept. After that, a simple base class and constant correctness for the model class to make it easier to use outside of Stan’s algorithms.

  • Michael Betancourt and Sean Talts have been prepping their physics talks for the upcoming course at MIT. There are post-it notes at metric heights in our office and they filmed themselves dropping a ball while filming a phone’s stopwatch (clever! hope that’s not too much of a spoiler for the course).

  • Michael Betancourt is also working on organizing the course before StanCon that’ll benefit NumFOCUS.

  • Jonah Gabry and T.J. Mahr released BayesPlot 1.4 with some new visualizations from Jonah’s paper.

  • Jonah Gabry working on Mac/C++ issues with R and has had to communicate with the R devs themselves it’s gotten so deep.

  • Lauren Kennedy has joined the team at Columbia taking over for Jonah Gabry at the population research center in the School of Social Work; she’ll be focusing on population health. She’ll also be working us (specifically with Andrew Gelman) on survey weighting and multilevel regression and poststratification with rstanarm.

  • Dan Simpson has been working on sparse autodiff architecture and talking with Aki and me about parallelization.

  • Dan Simpson and Andrew Gelman have been plotting how to marginalize out random effects in multilevel linear regression.

  • Andrew Gelman has been working with Jennifer Hill and others on revising his and Jennifer’s regression book. It’ll come out in two parts, the first of which is (tentatively?) titled Regression and Other Stories. Jonah Gabry has been working on the R packages for it and beefing up bayesplot and rstanarm to handle it.

  • Andrew Gelman is trying to write all the workflow stuff down with everyone else including Sean Talts, Michael Betancourt, and Daniel Simpson. As usual, a simple request from Andrew to write a short paper has spun out into real developments on the computational and methodological front.

  • Aki Vehtari, Andrew Gelman and others are revising the expectation propagation (EP) paper; we’re excited about the data parallel aspects of this.

  • Aki Vehtari gave a talk on priors for GPs at the summer school for GPs in Sheffield. He reports there were even some Stan users there using Stan for GPs. Their lives should get easier over the next year or two. Videos of the talks: Priors and integration over hyperparameters for GPs and On Bayesian model selection and model averaging.

  • Aki Vehtari reports there are 190 students in his Bayes class in Helsinki!

  • Michael Betancourt, Dan Simpson, and Aki Vehtari wrote comments on a paper about frequentist properties of horseshoe priors. Aki’s revised horseshoe prior paper has also been accepted.

  • Ben Bales wrote some generic array append code and also some vectorized random number generators which I reviewed and should go in soon.

  • Bill Gillespie is working on a piecewise linear interpolation function for Stan’s math library; he already added it to Torsten in advance of the ACoP tutorial he’s doing next month. He’ll be looking at a 1D integrator as an exercise, picking up from where Marco Inacio left off (it’s based on some code by John Cook).

  • Bill Gillespie is trying to hire a replacement for Charles Margossian at Metrum. He’s looking for someone who wants to work on Stan and pharmacology, preferably with experience in C++ and numerical analysis.

  • Krzysztof Sakrejda started a postdoc working on statistical modeling for global scale demographics for reproductive health with Leontine Alkema at UMass Amherst.

  • Krzysztof Sakrejda is working with makefiles trying to simplify them and inadvertently solved some of our clang++ compiler issues for CmdStan.

  • Matthijs Vákár got a pull request in for GLMs to speed up logistic regression by a factor of four or so by introducing analytic derivatives.

  • Matthijs Vákár is also working on higher-order imperative semantics for probabilistic programming languages like Stan.

  • Mitzi Morris finished last changes for pull request on base expression type refactor (this will pave the way for tuples, sparse matrices, ragged arrays, and functional types—hence all the semantic activity).

  • Mitzi Morris is also refactoring the local variable type inference system to squash a meta-bug that surfaced with ternary operators and will simplify the code.

  • Charles Margossian is finishing a case study on the algebraic solver to submit for the extended StanCon deadline. While he’s knee-deep in first-year grad student courses in measure theory and statistics.

  • Breck Baldwin and others have been talking to DataCamp (hi, Rasmus!) and Coursera. We’ll be getting some Stan classes out over the next year or two. Coordinating with DataCamp is easy, Coursera plus Columbia less so.

(video links added by Aki)

6 Comments

  1. Ben Goodrich says:

    The rstan::expose_stan_functions refactor that Krzysztof and I have been trying to get working is double / int only and hence does not do autodiff. However, I talked a bit how to use Rcpp::sourceCpp with C++ code that links to Stan’s reverse-mode autodiff mechanism in July at
    https://channel9.msdn.com/Events/useR-international-R-User-conferences/useR-International-R-User-2017-Conference/How-to-Use-RStan-to-Estimate-Models-in-External-R-Packages

  2. Andrew says:

    Definite title of volume 1: Regression and Other Stories
    Tentative title of volume 2: Advanced Regression and Multilevel Models

  3. Stephen Martin says:

    Any link to the freq. properties of HS prior available? I’d love to read it.

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