Starting with the 2.13 release, it is much easier to use external C++ code in a Stan program. This vignette briefly illustrates how to do so.
Suppose that you have (part of) a Stan program that involves Fibonacci numbers, such as
functions {
int fib(int n);
int fib(int n) {
if (n <= 0) reject("n must be positive");
return n <= 2 ? 1 : fib(n - 1) + fib(n - 2);
}
}
model {} // use the fib() function somehowOn the second line, we have declared the fib
function before it is defined in order to call it
recursively.
For functions that are not recursive, it is not necessary to declare
them before defining them but it may be advantageous. For example, I
often like to hide the definitions of complicated utility functions that
are just a distraction using the #include "file"
mechanism
functions {
real complicated(real a, real b, real c, real d, real e, real f, real g);
#include "complicated.stan"
}
model {} // use the complicated() function somehowThis Stan program would have to be parsed using the
stanc_builder function in the rstan
package rather than the default stanc function (which is
called by sampling and stan internally).
Returning to the Fibonacci example, it is not necessary to define the
fib function using the Stan language because Stan programs
with functions that are declared but not defined can
use the standard capabilities of the C++ toolchain to provide the
function definitions in C++. For example, this program produces a parser
error by default
mc <-
'
functions { int fib(int n); }
model {} // use the fib() function somehow
'
try(stan_model(model_code = mc, model_name = "parser_error"), silent = TRUE)However, if we specify the allow_undefined and
includes arguments to the stan_model function,
and define a fib function in the named C++ header file,
then it will parse and compile
stan_model(model_code = mc, model_name = "external", allow_undefined = TRUE,
includes = paste0('\n#include "',
file.path(getwd(), 'fib.hpp'), '"\n'))Specifying the includes argument is a bit awkward
because the C++ representation of a Stan program is written and compiled
in a temporary directory. Thus, the includes argument must
specify a full path to the fib.hpp file, which in this case is
in the working directory. Also, the path must be enclosed in
double-quotes, which is why single quotes are used in the separate
arguments to the paste0 function so that double-quotes are
interpreted literally. Finally, the includes argument
should include newline characters ("\n") at the start and
end. It is possible to specify multiple paths using additional newline
characters or include a “meta-header” file that contains
#include directives to other C++ header files.
The result of the includes argument is inserted into the
C++ file directly at the end of the lines (as opposed to CmdStan where
it is inserted directly before the following lines)
#include <stan/model/model_header.hpp>
namespace some_namespace {
using std::istream;
using std::string;
using std::stringstream;
using std::vector;
using stan::io::dump;
using stan::math::lgamma;
using stan::model::prob_grad;
using namespace stan::math;
typedef Eigen::Matrix<double,Eigen::Dynamic,1> vector_d;
typedef Eigen::Matrix<double,1,Eigen::Dynamic> row_vector_d;
typedef Eigen::Matrix<double,Eigen::Dynamic,Eigen::Dynamic> matrix_d;
static int current_statement_begin__;
// various function declarations and / or definitions
#include "/full/path/to/fib.hpp"Thus, the definition of the fib function in the fib.hpp
file need not be enclosed in any particular namespace (which is a random
string by default. The “meta-include” stan/model/model_header.hpp file
reads as
#ifndef STAN_MODEL_MODEL_HEADER_HPP
#define STAN_MODEL_MODEL_HEADER_HPP
#include <stan/model/model_base.hpp>
#include <stan/model/model_base_crtp.hpp>
#include <stan/math.hpp>
#include <stan/io/deserializer.hpp>
#include <stan/io/serializer.hpp>
#include <stan/model/rethrow_located.hpp>
#include <stan/model/prob_grad.hpp>
#include <stan/model/indexing.hpp>
#include <stan/services/util/create_rng.hpp>
#include <cmath>
#include <cstddef>
#include <fstream>
#include <iostream>
#include <sstream>
#include <stdexcept>
#include <utility>
#include <vector>
#endifso the definition of the fib function in the fib.hpp
file could utilize any function in the Stan Math Library (without having
to prefix function calls with stan::math::), some typedefs
to classes in the Eigen matrix algebra library, plus streams,
exceptions, etc. without having to worry about the corresponding header
files. Nevertheless, an external C++ file may contain
additional include directives that bring in class definitions, for
example.
Now let’s examine the fib.hpp file, which contains the C++ lines
int fib(const int&n, std::ostream* pstream__) {
if (n <= 0) {
stringstream errmsg;
errmsg << "n must be positive";
throw std::domain_error(errmsg.str());
}
return n <= 1 ? 1 : fib(n - 1, 0) + fib(n - 2, 0);
}This C++ function is essentially what the preceding user-defined function in the Stan language
int fib(int n) {
if (n <= 0) reject("n must be positive");
return n <= 2 ? 1 : fib(n - 1) + fib(n - 2);
}parses to. Thus, there is no speed advantage to defining the
fib function in the external fib.hpp file. However, it is
possible to use an external C++ file to handle the gradient of a
function analytically as opposed to using Stan’s autodifferentiation
capabilities, which are slower and more memory intensive but fully
general. In this case, the fib function only deals with
integers so there is nothing to take the derivative of. The primary
advantage of using an external C++ file is flexibility to do things that
cannot be done directly in the Stan language. It is also useful for R
packages like rstanarm that may want to define some C++
functions in the package’s src directory and rely on the linker to make
them available in its Stan programs, which are compiled at (or before)
installation time.
In the C++ version, we check if n is non-positive, in
which case we throw an exception. The way the MCMC samplers are
configured, if there is an exception thrown and it is
std::domain_error, it will treat that iteration as a
rejection but as a recoverable error: set that iteration’s log
probability value to negative infinity and move to the next iteration.
If there is a std::invalid_argument thrown, MCMC
terminates. We treat these as non-recoverable, user programming errors.
It is unnecessary to prefix stringstream with
std:: because of the using std::stringstream;
line in the generated C++ file. However, there is no
corresponding using std::domain_error; line, so it has to
be qualified appropriately when the exception is thrown.
The only confusing part of the C++ version of the fib
function is that it has an additional argument (with no default value)
named pstream__ that is added to the declaration
of the fib function by Stan. Thus, your definition
of the fib function needs to match with this signature.
This additional argument is a pointer to a std::ostream and
is only used if your function prints something to the screen, which is
rare. Thus, when we call the fib function recursively in
the last line, we specify fib(n - 1, 0) + fib(n - 2, 0); so
that the output (if any, and in this case there is none) is directed to
the null pointer.
This vignette has employed a toy example with the Fibonacci function,
which has little apparent use in a Stan program and if it were useful,
would more easily be implemented as a user-defined function in the
functions block as illustrated at the outset. The ability
to use external C++ code only becomes useful with more complicated C++
functions. It goes without saying that this mechanism ordinarily cannot
call functions in C, Fortran, R, or other languages because Stan needs
the derivatives with respect to unknown parameters in order to perform
estimation. These derivatives are handled with custom C++ types that
cannot be processed by functions in other languages that only handle
primitive types such as double, float,
etc.
That said, it is possible to accomplish a great deal in C++,
particularly when utilizing the Stan Math Library. For more details, see
The Stan Math Library:
Reverse-Mode Automatic Differentiation in C++ and its GitHub repository. The functions
that you declare in the functions block of a Stan
program will typically involve templating and type promotion in their
signatures when parsed to C++ (the only exceptions are functions whose
only arguments are integers, as in the fib function above).
Suppose you wanted to define a function whose arguments are real numbers
(or at least one of the arguments is). For example,
mc <-
'
functions { real sinc(real x); }
transformed data { real sinc_pi = sinc(pi()); }
'
stan_model(model_code = mc, model_name = "external", allow_undefined = TRUE,
includes = paste0('\n#include "',
file.path(getwd(), 'sinc.hpp'), '"\n'))## Error in compileCode(f, code, language = language, verbose = verbose): Eigen::Matrix<double, -1, 1>; int Option = 0; Scalar = double]’
## /github/workspace/pkglib/StanHeaders/include/src/stan/mcmc/hmc/hamiltonians/dense_e_metric.hpp:22:0: required from ‘double stan::mcmc::dense_e_metric<Model, BaseRNG>::T(stan::mcmc::dense_e_point&) [with Model = model17ef1974f407_external_namespace::model17ef1974f407_external; BaseRNG = boost::random::mixmax_engine<17, 36, 0>]’
## /github/workspace/pkglib/StanHeaders/include/src/stan/mcmc/hmc/hamiltonians/dense_e_metric.hpp:21:0: required from here
## /github/workspace/pkglib/RcppEigen/include/Eigen/src/Core/DenseCoeffsBase.h:654:74: warning: ignoring attributes on template argument ‘Eigen::internal::packet_traits<double>::type’ {aka ‘__m128d’} [-Wignored-attributes]
## 654 | return internal::first_aligned<int(unpacket_traits<DefaultPacketType>::alignment),Derived>(m);
## | ^~~~~~~~~
## make: *** [/usr/lib/R/etc/Makeconf:204: file17ef52a90d85.o] Error 1## Error in sink(type = "output"): invalid connectionThe sinc.hpp file reads as
double
sinc(const double& x, std::ostream* pstream__) {
return x != 0.0 ? sin(x) / x : 1.0;
}
var
sinc(const var& x, std::ostream* pstream__) {
double x_ = x.val();
double f = x_ != 0.0 ? sin(x_) / x_ : 1.0;
double dfdx_ = x_ != 0.0 ? (cos(x_) - sin(x_)) / x_ : 0.0;
return var(new precomp_v_vari(f, x.vi_, dfdx_));
}The body of the first sinc function is simply its
mathematical definition in the form of a ternary operator, which is
sufficient when the input is a double.
The last lines of sinc.hpp are a specialization for when the input is
an unknown real parameter, which is represented in the Stan Math Library
as a stan::math::var. Since the derivative of the
sinc function is easy to compute analytically, we extract
the underlying double-precision value from the inputted
stan::math::var and use that to calculate the function
value and its first derivative. Then, we return the result of
precomputed_gradients, whose arguments are the function
value (f), the derivative of x with respect to
any other parameters (x.vi_), and the first derivative of
f (dfdx_). The latter two are actually
std::vectors but only have one element each because there
is only one unknown.
An easy way to see what the generated function signature will be is
to call the stanc function in the rstan
package with allow_undefined = TRUE and inspect the
resuling C++ code. In this case, I first did
## Warning in file(con, "r"): expanded path length 13642 would be too long for
## #ifndef USE_STANC3
## #define USE_STANC3
## #endif
## // Code generated by stanc v2.35.0-104-g8d74ceb
## #include <stan/model/model_header.hpp>
## namespace model17ef6c1d71e0_file17ef5999f068_namespace {
## using stan::model::model_base_crtp;
## using namespace stan::math;
## stan::math::profile_map profiles__;
## static constexpr std::array<const char*, 2> locations_array__ =
## {" (found before start of program)",
## " (in 'file17ef5999f068', line 2, column 19 to column 45)"};
## class model17ef6c1d71e0_file17ef5999f068 final : public model_base_crtp<model17ef6c1d71e0_file17ef5999f068> {
## private:
## double sinc_pi;
## public:
## ~model17ef6c1d71e0_file17ef5999f068() {}
## model17ef6c1d71e0_file17ef5999f068(stan::io::var_context& context__,
## unsigned int random_seed__ = 0,
## std::ostream* pstream__ = nullptr)
## : model_base_crtp(0) {
## int current_statement__ = 0;
## // suppress unused var warning [... truncated]
## Warning in file(con, "r"): expanded path length 13642 would be too long for
## #ifndef USE_STANC3
## #define USE_STANC3
## #endif
## // Code generated by stanc v2.35.0-104-g8d74ceb
## #include <stan/model/model_header.hpp>
## namespace model17ef6c1d71e0_file17ef5999f068_namespace {
## using stan::model::model_base_crtp;
## using namespace stan::math;
## stan::math::profile_map profiles__;
## static constexpr std::array<const char*, 2> locations_array__ =
## {" (found before start of program)",
## " (in 'file17ef5999f068', line 2, column 19 to column 45)"};
## class model17ef6c1d71e0_file17ef5999f068 final : public model_base_crtp<model17ef6c1d71e0_file17ef5999f068> {
## private:
## double sinc_pi;
## public:
## ~model17ef6c1d71e0_file17ef5999f068() {}
## model17ef6c1d71e0_file17ef5999f068(stan::io::var_context& context__,
## unsigned int random_seed__ = 0,
## std::ostream* pstream__ = nullptr)
## : model_base_crtp(0) {
## int current_statement__ = 0;
## // suppress unused var warning [... truncated]## Warning in file(con, "r"): cannot open file '#ifndef USE_STANC3
## #define USE_STANC3
## #endif
## // Code generated by stanc v2.35.0-104-g8d74ceb
## #include <stan/model/model_header.hpp>
## namespace model17ef6c1d71e0_file17ef5999f068_namespace {
## using stan::model::model_base_crtp;
## using namespace stan::math;
## stan::math::profile_map profiles__;
## static constexpr std::array<const char*, 2> locations_array__ =
## {" (found before start of program)",
## " (in 'file17ef5999f068', line 2, column 19 to column 45)"};
## class model17ef6c1d71e0_file17ef5999f068 final : public model_base_crtp<model17ef6c1d71e0_file17ef5999f068> {
## private:
## double sinc_pi;
## public:
## ~model17ef6c1d71e0_file17ef5999f068() {}
## model17ef6c1d71e0_file17ef5999f068(stan::io::var_context& context__,
## unsigned int random_seed__ = 0,
## std::ostream* pstream__ = nullptr)
## : model_base_crtp(0) {
## int current_statement__ = 0;
## // suppress unused var warning
## (void) current_statement__ [... truncated]## Error in file(con, "r") : cannot open the connectionto see what function signatures needed to be written for sinc.hpp.
Once you go to the trouble of writing a numerically stable C++ function, we would welcome a pull request on GitHub to include your C++ function in the Stan Math Library for everyone to benefit from, provided that it can be licensed under the 3-clause BSD license and its use is not overly-specific to your particular Stan program.
The Stan Math Library is compliant with the C++14 standard but not
all compilers fully support the C++14 standard. In particular, the
compiler that comes with RTools does not support all C++14 features. But
you can use many C++14 features, such as the auto
keyword.