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Upgrade CmdStanPy interface (#1849)

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* cmdstan variable extraction update

* add backwards compatibility

* Fix bug

* Upgrade stan version in requirements and in CI testing

Co-authored-by: Ben Letham <bletham@gmail.com>
This commit is contained in:
Cuong Duong 2021-03-21 04:59:58 +11:00 committed by GitHub
parent 8ffa0e02a6
commit 16472a5700
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GPG key ID: 4AEE18F83AFDEB23
4 changed files with 10 additions and 6 deletions
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6
.github/workflows/build-and-test.yml vendored
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@ -27,7 +27,7 @@ jobs:
cd python && python setup.py develop test cd python && python setup.py develop test
python setup.py clean python setup.py clean
rm -rf fbprophet/stan_model rm -rf fbprophet/stan_model
wget https://github.com/stan-dev/cmdstan/releases/download/v2.22.1/cmdstan-2.22.1.tar.gz -O /tmp/cmdstan.tar.gz > /dev/null wget https://github.com/stan-dev/cmdstan/releases/download/v2.26.1/cmdstan-2.26.1.tar.gz -O /tmp/cmdstan.tar.gz > /dev/null
tar -xvf /tmp/cmdstan.tar.gz -C /tmp > /dev/null tar -xvf /tmp/cmdstan.tar.gz -C /tmp > /dev/null
make -C /tmp/cmdstan-2.22.1/ build > /dev/null make -C /tmp/cmdstan-2.26.1/ build > /dev/null
CMDSTAN=/tmp/cmdstan-2.22.1 STAN_BACKEND=CMDSTANPY python setup.py develop test CMDSTAN=/tmp/cmdstan-2.26.1 STAN_BACKEND=CMDSTANPY python setup.py develop test

1
python/fbprophet/forecaster.py
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@ -1170,6 +1170,7 @@ class Prophet(object):
else: else:
self.params = self.stan_backend.fit(stan_init, dat, **kwargs) self.params = self.stan_backend.fit(stan_init, dat, **kwargs)
self.stan_fit = self.stan_backend.stan_fit
# If no changepoints were requested, replace delta with 0s # If no changepoints were requested, replace delta with 0s
if len(self.changepoints) == 0: if len(self.changepoints) == 0:
# Fold delta into the base rate k # Fold delta into the base rate k

5
python/fbprophet/models.py
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@ -128,7 +128,7 @@ class CmdStanPyBackend(IStanBackend):
inits=stan_init, inits=stan_init,
iter_sampling=iter_half, iter_sampling=iter_half,
**kwargs) **kwargs)
res = self.stan_fit.sample res = self.stan_fit.draws()
(samples, c, columns) = res.shape (samples, c, columns) = res.shape
res = res.reshape((samples * c, columns)) res = res.reshape((samples * c, columns))
params = self.stan_to_dict_numpy(self.stan_fit.column_names, res) params = self.stan_to_dict_numpy(self.stan_fit.column_names, res)
@ -182,7 +182,10 @@ class CmdStanPyBackend(IStanBackend):
end = 0 end = 0
two_dims = len(data.shape) > 1 two_dims = len(data.shape) > 1
for cname in column_names: for cname in column_names:
if "." in cname:
parsed = cname.split(".") parsed = cname.split(".")
else:
parsed = cname.split("[")
curr = parsed[0] curr = parsed[0]
if prev is None: if prev is None:

2
python/requirements.txt
View file

@ -1,5 +1,5 @@
Cython>=0.22 Cython>=0.22
cmdstanpy==0.9.5 cmdstanpy==0.9.68
pystan>=2.14 pystan>=2.14
numpy>=1.15.4 numpy>=1.15.4
pandas>=1.0.4 pandas>=1.0.4