我有一个包含许多观察结果的数据集,我使用Amelia包来创建推算数据集。我想知道是否可以与每个链的不同数据集并行运行相同的模型,并将结果合并到一个Stan对象中。
# Load packages
library(Amelia)
library(rstan)
# Load built-in data
data(freetrade)
# Create 2 imputed data sets (polity is an ordinal variable)
df.imp <- amelia(freetrade, m = 2, ords = "polity")
# Check the first data set
head(df.imp$imputations[[1]])
# Run the model in Stan
code <- '
data {
int<lower=0> N;
vector[N] tariff;
vector[N] polity;
}
parameters {
real b0;
real b1;
real<lower=0> sigma;
}
model {
b0 ~ normal(0,100);
b1 ~ normal(0,100);
tariff ~ normal(b0 + b1 * polity, sigma);
}
'
# Create a list from the first and second data sets
df1 <- list(N = nrow(df.imp$imputations[[1]]),
tariff = df.imp$imputations[[1]]$tariff,
polity = df.imp$imputations[[1]]$polity)
df2 <- list(N = nrow(df.imp$imputations[[2]]),
tariff = df.imp$imputations[[2]]$tariff,
polity = df.imp$imputations[[2]]$polity)
# Run the model
m1 <- stan(model_code = code, data = df1, chains = 1, iter = 1000)
我的问题是如何在两个数据集上同时运行最后一行代码,运行2个链并将输出与相同的stan()函数组合。有什么建议吗?
答案 0 :(得分:5)
您可以单独运行模型,然后使用sflist2stanfit()组合它们。
E.g。
seed <- 12345
s1 <- stan_model(model_code = code) # compile the model
m1 <- sampling(object = s1, data = df1, chains = 1,
seed = seed, chain_id = 1, iter = 1000)
m2 <- sampling(object = s1, data = df2, chains = 1,
seed = seed, chain_id = 2, iter = 1000)
f12 <- sflist2stanfit(list(m1, m2))
答案 1 :(得分:2)
你必须在R中使用其中一个包进行并行计算。 根据这篇文章,它应该工作: Will RStan run on a supercomputer?
这是一个可行的示例(我将此代码与JAGS一起使用,稍后将使用Stan进行测试):
library( doParallel )
cl <- makeCluster( 2 ) # for 2 processes
registerDoParallel( cl )
library(rstan)
# make a function to combine the results
stan.combine <- function(...) { return( sflist2stanfit( list(...) ) ) }
mydatalist <- list(df1 , df2)
myseeds <- c(123, 456)
# now start the chains
nchains <- 2
m_both <- foreach(i=1:nchains ,
.packages = c( 'rstan' ),
.combine = "stan.combine") %dopar% {
result <- stan(model_code = code,
data = mydatalist[[i]], # use the right dataset
seed=myseeds[i], # use different seeds
chains = 1, iter = 1000)
return(result) }
让我知道它是否适用于斯坦。正如我所说,我还没有测试过它。