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Compile CVODES functions with each Stan model
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In 2017, model compilation takes ~40-50 seconds. Compiling CVODES
functions with each model adds about 7 seconds.

Closes #209.
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ariddell committed Jan 16, 2018
1 parent 5365e91 commit 1cc9432
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41 changes: 40 additions & 1 deletion pystan/model.py
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Original file line number Diff line number Diff line change
Expand Up @@ -269,6 +269,45 @@ def __init__(self, file=None, charset='utf-8', model_name="anon_model",
s = template.safe_substitute(model_cppname=self.model_cppname)
outfile.write(s)

## cvodes sources

# cvodes sources are complied and linked together with the Stan model
# extension module. This is not ideal. In theory, build_clib could be
# used to build a library once and models would be complied and then
# linked with this library. This would save 7 or more seconds from every build.
# But such a strategy is frustrated by the
# lack of ``install_clib`` functionality in Python's distutils.
#
# TODO: numpy provides install_clib functionality, use that.
cvodes_src_path = os.path.join(pystan_dir, 'stan', 'lib', 'stan_math', 'lib', 'cvodes_2.9.0', 'src')
cvodes_sources = [
os.path.join(cvodes_src_path, 'cvodes', 'cvodea.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodea_io.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_band.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_bandpre.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_bbdpre.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_dense.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_diag.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_direct.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_io.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_sparse.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_spbcgs.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_spgmr.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_spils.c'),
os.path.join(cvodes_src_path, 'cvodes', 'cvodes_sptfqmr.c'),
os.path.join(cvodes_src_path, 'nvec_ser', 'nvector_serial.c'),
os.path.join(cvodes_src_path, 'sundials', 'sundials_band.c'),
os.path.join(cvodes_src_path, 'sundials', 'sundials_dense.c'),
os.path.join(cvodes_src_path, 'sundials', 'sundials_direct.c'),
os.path.join(cvodes_src_path, 'sundials', 'sundials_iterative.c'),
os.path.join(cvodes_src_path, 'sundials', 'sundials_math.c'),
os.path.join(cvodes_src_path, 'sundials', 'sundials_nvector.c'),
os.path.join(cvodes_src_path, 'sundials', 'sundials_spbcgs.c'),
os.path.join(cvodes_src_path, 'sundials', 'sundials_spgmr.c'),
os.path.join(cvodes_src_path, 'sundials', 'sundials_sptfqmr.c'),
]

stan_macros = [
('BOOST_RESULT_OF_USE_TR1', None),
('BOOST_NO_DECLTYPE', None),
Expand All @@ -291,7 +330,7 @@ def __init__(self, file=None, charset='utf-8', model_name="anon_model",
distutils.log.set_verbosity(verbose)
extension = Extension(name=self.module_name,
language="c++",
sources=[pyx_file],
sources=[pyx_file] + cvodes_sources,
define_macros=stan_macros,
include_dirs=include_dirs,
extra_compile_args=extra_compile_args)
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62 changes: 62 additions & 0 deletions pystan/tests/test_cvodes.py
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Original file line number Diff line number Diff line change
@@ -0,0 +1,62 @@
import unittest

import pystan


class TestCVODES(unittest.TestCase):

def test_cvodes_program(self):
# from integrate_ode_bdf.stan
model_code = """
functions {
real[] sho(real t,
real[] y,
real[] theta,
real[] x,
int[] x_int) {
real dydt[2];
dydt[1] = y[2];
dydt[2] = -y[1] - theta[1] * y[2];
return dydt;
}
}
data {
int<lower=1> T;
real y0_d[2];
real t0;
real ts[T];
real theta_d[1];
real x[0];
int x_int[0];
}
parameters {
real y0_p[2];
real theta_p[1];
}
model {
real y_hat[T,2];
y_hat = integrate_ode_bdf(sho, y0_d, t0, ts, theta_d, x, x_int);
y_hat = integrate_ode_bdf(sho, y0_d, t0, ts, theta_p, x, x_int);
y_hat = integrate_ode_bdf(sho, y0_p, t0, ts, theta_d, x, x_int);
y_hat = integrate_ode_bdf(sho, y0_p, t0, ts, theta_p, x, x_int);
y_hat = integrate_ode_bdf(sho, y0_d, t0, ts, theta_d, x, x_int, 1e-10, 1e-10, 1e8);
y_hat = integrate_ode_bdf(sho, y0_d, t0, ts, theta_p, x, x_int, 1e-10, 1e-10, 1e8);
y_hat = integrate_ode_bdf(sho, y0_p, t0, ts, theta_d, x, x_int, 1e-10, 1e-10, 1e8);
y_hat = integrate_ode_bdf(sho, y0_p, t0, ts, theta_p, x, x_int, 1e-10, 1e-10, 1e8);
}
generated quantities {
real y_hat[T,2];
y_hat = integrate_ode_bdf(sho, y0_d, t0, ts, theta_d, x, x_int);
y_hat = integrate_ode_bdf(sho, y0_d, t0, ts, theta_p, x, x_int);
y_hat = integrate_ode_bdf(sho, y0_p, t0, ts, theta_d, x, x_int);
y_hat = integrate_ode_bdf(sho, y0_p, t0, ts, theta_p, x, x_int);
y_hat = integrate_ode_bdf(sho, y0_d, t0, ts, theta_d, x, x_int, 1e-10, 1e-10, 1e8);
y_hat = integrate_ode_bdf(sho, y0_d, t0, ts, theta_p, x, x_int, 1e-10, 1e-10, 1e8);
y_hat = integrate_ode_bdf(sho, y0_p, t0, ts, theta_d, x, x_int, 1e-10, 1e-10, 1e8);
y_hat = integrate_ode_bdf(sho, y0_p, t0, ts, theta_p, x, x_int, 1e-10, 1e-10, 1e8);
}
"""
model = pystan.StanModel(model_code=model_code, verbose=True)
self.assertIsNotNone(model)

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