Feature/3299 improve ess mcse

[mitzimorris]

Submission Checklist

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

Summary

Add split-rank-folded ESS .

Intended Effect

Expose new split-Rhat and split-ESS for CmdStan

How to Verify

unit tests

Side Effects

N/A

Documentation

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:

• Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
• Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)

[mitzimorris]

@SteveBronder - I would really appreciate your eyeballs on the ESS calculations - a preliminary review?

@WardBrian - does this API look OK?

also @avehtari - I implemented tail ESS - current logic is that if tail ESS returns NaN, set if to bulk ESS, as this seems to be what the posterior package does. is this correct?

the current set of unit tests test split R-hat and split-ESS against what's in posterior for a run of 2 chains on the eight_schools model. suggestions for further tests welcome.

[stan-buildbot]

---

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.34	0.32	1.07	6.31% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	0.91	-10.28% slower
gp_regr/gen_gp_data.stan	0.02	0.02	1.03	3.15% faster
gp_regr/gp_regr.stan	0.09	0.1	0.99	-1.12% slower
sir/sir.stan	70.04	68.31	1.03	2.47% faster
irt_2pl/irt_2pl.stan	4.2	4.31	0.97	-2.7% slower
eight_schools/eight_schools.stan	0.06	0.06	1.03	2.94% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.25	0.98	-2.06% slower
pkpd/one_comp_mm_elim_abs.stan	19.51	18.79	1.04	3.71% faster
garch/garch.stan	0.45	0.41	1.09	8.47% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.72	2.6	1.05	4.4% faster
arK/arK.stan	1.82	1.72	1.06	5.58% faster
gp_pois_regr/gp_pois_regr.stan	2.87	2.72	1.06	5.25% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.78	8.44	1.04	3.88% faster
performance.compilation	181.33	181.18	1.0	0.08% faster
Mean result: 1.0224876057703807

---

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

[stan-buildbot]

---

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.36	0.32	1.14	12.57% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	0.99	-0.72% slower
gp_regr/gen_gp_data.stan	0.03	0.02	1.2	16.83% faster
gp_regr/gp_regr.stan	0.1	0.09	1.04	3.42% faster
sir/sir.stan	69.38	70.3	0.99	-1.31% slower
irt_2pl/irt_2pl.stan	4.25	3.96	1.07	6.73% faster
eight_schools/eight_schools.stan	0.06	0.05	1.07	6.22% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.25	0.98	-2.37% slower
pkpd/one_comp_mm_elim_abs.stan	19.72	18.95	1.04	3.92% faster
garch/garch.stan	0.44	0.41	1.06	6.07% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.71	2.6	1.04	3.77% faster
arK/arK.stan	1.76	1.72	1.02	2.31% faster
gp_pois_regr/gp_pois_regr.stan	2.84	2.8	1.01	1.22% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.83	8.4	1.05	4.89% faster
performance.compilation	180.95	180.82	1.0	0.07% faster
Mean result: 1.0473007260170133

---

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]

Thanks for tackling this

[SteveBronder]

Few comments about chainset

[SteveBronder]

Can we write a thinned_samples function with a signature thinned_samples(const std::vector<stan::io::stan_csv>&)? Also add a function like the below so that we can use a member initialization list

std::vector<Eigen::MatrixXd> extract_samples(const std::vector<stan::io::stan_csv>&)`

Suggested change

	explicit chainset(const std::vector<stan::io::stan_csv>& stan_csv) {
	if (stan_csv.empty())
	return;
	init_from_stan_csv(stan_csv[0]);
	for (size_t i = 1; i < stan_csv.size(); ++i) {
	add(stan_csv[i]);
	}
	}
	explicit chainset(const std::vector<stan::io::stan_csv>& stan_csvs) :
	param_names_(stan_csvs[0].header),
	num_samples_(thinned_samples(stan_csvs)),
	chains_(extract_samples(stan_csvs)) {}

[SteveBronder]

std::vector returns size_t which is a unsigned int. I like using Eigen::Index instead of int since it's a long int and it's a reasonably safe int to convert to

Suggested change

	inline int num_chains() const { return chains_.size(); }
	/**
	* Report number of parameters per chain.
	* @return size of parameter names vector.
	*/
	inline int num_params() const { return param_names_.size(); }
	/**
	* Report number of samples (draws) per chain.
	* @return rows per chain
	*/
	inline int num_samples() const { return num_samples_; }
	inline int num_chains() const { return chains_.size(); }
	/**
	* Report number of parameters per chain.
	* @return size of parameter names vector.
	*/
	inline int num_params() const { return param_names_.size(); }
	/**
	* Report number of samples (draws) per chain.
	* @return rows per chain
	*/
	inline int num_samples() const { return num_samples_; }

[mitzimorris]

closing this PR - see comment #3310 (comment)