Update stansummary to use split, rank-normalized Rhat, ESS by WardBrian · Pull Request #1301

Update stansummary to use split, rank-normalized Rhat, ESS by WardBrian · Pull Request #1301 · stan-dev/cmdstan

Submisison Checklist

Run tests: ./runCmdStanTests.py src/test
Declare copyright holder and open-source license: see below

Summary:

Based on #1290, but tries to touch less of the code. This updates stansummary_helper to use chainset instead of chains, and updates the existing tests to match.

Ditto for diagnose, but there I just took the code whole-cloth from @mitzimorris' PR

Intended Effect:

Closes #1263 by adding the new metrics to stansummary

How to Verify:

Side Effects:

Stansummary no longer shows an ESS/s metric.

Documentation:

Will update https://mc-stan.org/docs/cmdstan-guide/stansummary.html if merged

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): Simons foundation

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/)

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.35	0.34	1.05	4.75% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	1.0	0.48% faster
gp_regr/gen_gp_data.stan	0.03	0.02	1.11	9.97% faster
gp_regr/gp_regr.stan	0.1	0.09	1.07	6.18% faster
sir/sir.stan	70.87	69.36	1.02	2.13% faster
irt_2pl/irt_2pl.stan	4.12	3.98	1.03	3.35% faster
eight_schools/eight_schools.stan	0.06	0.05	1.05	5.13% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.26	0.24	1.07	6.84% faster
pkpd/one_comp_mm_elim_abs.stan	19.72	18.87	1.05	4.31% faster
garch/garch.stan	0.44	0.41	1.05	5.13% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.74	2.61	1.05	4.79% faster
arK/arK.stan	1.82	1.74	1.04	4.21% faster
gp_pois_regr/gp_pois_regr.stan	2.84	2.76	1.03	2.79% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.89	8.49	1.05	4.53% faster
performance.compilation	181.17	176.39	1.03	2.64% faster
Mean result: 1.0474575571510547

Jenkins Console Log
Blue Ocean
Commit hash: b88ac6535111d0a72e585fc78fc4fa664aeadc51

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 Reg file data sampling: Not affected
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; BHI 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

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.36	0.46	0.79	-27.05% slower
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	0.94	-6.39% slower
gp_regr/gen_gp_data.stan	0.03	0.03	0.95	-5.18% slower
gp_regr/gp_regr.stan	0.1	0.11	0.88	-13.02% slower
sir/sir.stan	71.71	74.19	0.97	-3.45% slower
irt_2pl/irt_2pl.stan	4.15	4.5	0.92	-8.52% slower
eight_schools/eight_schools.stan	0.06	0.06	0.94	-5.99% slower
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.41	0.61	-62.89% slower
pkpd/one_comp_mm_elim_abs.stan	19.49	20.27	0.96	-4.0% slower
garch/garch.stan	0.43	0.48	0.9	-11.11% slower
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.71	2.92	0.93	-7.76% slower
arK/arK.stan	1.79	1.85	0.97	-3.54% slower
gp_pois_regr/gp_pois_regr.stan	2.86	2.9	0.98	-1.53% slower
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.83	9.65	0.92	-9.24% slower
performance.compilation	186.35	183.78	1.01	1.38% faster
Mean result: 0.9118437527580613

Jenkins Console Log
Blue Ocean
Commit hash: b88ac6535111d0a72e585fc78fc4fa664aeadc51

Machine information

No LSB modules are available. Distributor ID: Ubuntu Description: Ubuntu 20.04.3 LTS Release: 20.04 Codename: focal

Clang:
clang version 10.0.0-4ubuntu1
Target: x86_64-pc-linux-gnu
Thread model: posix
InstalledDir: /usr/bin

I’d prefer to keep any further behavior changes in a separate PR. Copying over the tests seems easy, though

on further consideration, comments re what console output should look like is an extremely low-priority issue, since the CSV files are the most-used (by CmdStanPy) output from this utility - so low-priority as to not be worth the effort.

Also fix CSV precision bug in matrix outputs

New tests added -- one of them caught an existing issue where matrix outputs would have a different behavior with respect to sig_figs when requesting CSV output. I've fixed this.

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.35	0.36	0.98	-1.69% slower
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	0.95	-5.13% slower
gp_regr/gen_gp_data.stan	0.03	0.03	1.08	7.77% faster
gp_regr/gp_regr.stan	0.1	0.1	1.09	8.11% faster
sir/sir.stan	71.32	70.17	1.02	1.61% faster
irt_2pl/irt_2pl.stan	4.12	4.16	0.99	-1.08% slower
eight_schools/eight_schools.stan	0.06	0.06	0.98	-1.98% slower
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.26	0.96	-4.36% slower
pkpd/one_comp_mm_elim_abs.stan	19.74	18.97	1.04	3.86% faster
garch/garch.stan	0.44	0.42	1.05	4.79% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.76	2.62	1.05	5.19% faster
arK/arK.stan	1.82	1.74	1.04	4.21% faster
gp_pois_regr/gp_pois_regr.stan	2.83	2.73	1.04	3.39% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.71	8.58	1.01	1.46% faster
performance.compilation	180.45	179.43	1.01	0.57% faster
Mean result: 1.0197562300434548

Jenkins Console Log
Blue Ocean
Commit hash: b88ac6535111d0a72e585fc78fc4fa664aeadc51

Machine information

No LSB modules are available. Distributor ID: Ubuntu Description: Ubuntu 20.04.3 LTS Release: 20.04 Codename: focal

Clang:
clang version 10.0.0-4ubuntu1
Target: x86_64-pc-linux-gnu
Thread model: posix
InstalledDir: /usr/bin

Huh, it appears our formatting logic does not consistently select between scientific notation and normal floating point representation between two different machines. That makes the test which checks against exact outputs impossible, so I've simplified

Probably worth investigating another time, though as you note, the console output is not the 'primary' product here.

Edit: I ended up backing out those tests entirely. Because this PR doesn't touch the formatting behavior, I'd rather not have to in order to add the new tests

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.38	0.34	1.14	12.12% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	1.14	12.2% faster
gp_regr/gen_gp_data.stan	0.03	0.02	1.05	5.01% faster
gp_regr/gp_regr.stan	0.11	0.09	1.27	21.12% faster
sir/sir.stan	70.53	73.17	0.96	-3.74% slower
irt_2pl/irt_2pl.stan	4.1	4.15	0.99	-1.16% slower
eight_schools/eight_schools.stan	0.06	0.06	1.1	9.09% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.25	1.01	1.11% faster
pkpd/one_comp_mm_elim_abs.stan	19.28	19.01	1.01	1.41% faster
garch/garch.stan	0.44	0.42	1.04	3.56% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.72	2.61	1.05	4.38% faster
arK/arK.stan	1.8	1.75	1.03	2.64% faster
gp_pois_regr/gp_pois_regr.stan	2.88	2.75	1.05	4.41% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.95	8.49	1.05	5.17% faster
performance.compilation	181.05	181.36	1.0	-0.17% slower
Mean result: 1.0589399244106206

Jenkins Console Log
Blue Ocean
Commit hash: b88ac6535111d0a72e585fc78fc4fa664aeadc51

Machine information

No LSB modules are available. Distributor ID: Ubuntu Description: Ubuntu 20.04.3 LTS Release: 20.04 Codename: focal

Clang:
clang version 10.0.0-4ubuntu1
Target: x86_64-pc-linux-gnu
Thread model: posix
InstalledDir: /usr/bin

Submisison Checklist

Summary:

Intended Effect:

How to Verify:

Side Effects:

Documentation:

Copyright and Licensing

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