pycmdstan 0.3

Python interface to CmdStan

pycmdstan

Python interface to CmdStan.

Install

Pycmdstan is a pure-Python package which can be installed from PyPI

pip install --upgrade pycmdstan

or from sources

pip install -e git+https://gitlab.thevirtualbrain.org/tvb/pycmdstan

Usage

import os
os.environ['CMDSTAN'] = '~/src/cmdstan-2.17.1'
from pycmdstan import Model, Run

model = Model('''
data { vector[20] x; real mu; }
parameters { real sig; }
model { x ~ normal(mu, sig); }
generate quantities {
    vector[20] log_lik;
    for (i in 1:20) log_lik[i] = normal_lpdf(x[i] | mu, sig);
}
''')

runs = model.sample(
	data=dict(mu, **data),
	chains=4
)
assert runs.N_eff_per_iter.min() > 0.2
assert runs.R_hat.max() < 1.2

data = {'x': np.random.randn(20) + 5.0}
loo = []
mus = np.r_[1.0, 3.0, 5.0, 7.0, 9.0]
for mu in mus:
    run = model.sample(
        data=dict(mu=mu, **data), num_warmup=200, num_samples=200)
    loo.append(run['loo'])
assert mus[np.argmin(loo)] == 5.0

Contributing

Contributions are welcome, please start in the issue tracker. Use YAPF to format the code. The Dockerfile can ease local development,

docker build -t pycmdstan .
docker run --rm -it pycmdstan pytest -n4 pycmdstan/tests.py

Acknowledgements

• PSIS code is by Aki Vehtari & Tuomas Sivula (BSD licensed, repo here)