Question

Stan is a new Bayesian analysis software by Gelman et al.

RStan is, I am guessing, a way to call Stan from within R.

Will Stan / RStan run on a supercomputer with a Linux operating system, and if so can it take advantage of the super-computer’s multi-processors? I have been told that WinBUGS will not run on a Linux machine and/or cannot take advantage of a supercomputer’s multi-processors.

I am looking for a way to speed up Bayesian analyses – from weeks to days / hours.

Answer 1

Stan and rstan should run on Linux, Mac, or Windows that supports the dependencies. We have not tested on BSD or Oracle, but we expect them to work with either the g++ or clang compilers (although not the Oracle compilers).

There is no explicitly parallel code in Stan or rstan but neither is there any code that prevents the binary from being executed by several processes simultaneously. For example, if you use Stan from the command line in a bash shell, you could do something like

./my_model --data=my_data.dump --seed=12345 --chain_id=1 --samples=samples_1.csv &
./my_model --data=my_data.dump --seed=12345 --chain_id=2 --samples=samples_2.csv &

and so forth for as many chains as you like. It is important to use the same seed but different chain_id when executing in parallel.

If you are using the rstan package, you can call the main stan() function using any of the parallel engines supported by R and your operating system. Again, it is best to pass the same seed and different chain_id. As of rstan v1.0.3 (not released yet), there is a function called sflist2stanfit() that takes a list of stanfit objects that may have been generated in parallel and combines them into a single stanfit object for analysis.

For more information, there is a thread devoted to parallel execution at

https://groups.google.com/d/topic/stan-users/3goteHAsJGs/discussion