Let prim functions return expressions #2190

t4c1 · 2020-11-12T12:36:55Z

Summary

I went over all prim functions and modified them to return Eigen expressions, where it makes sense to do so.

I also added a new helper function to_forwarding_ref, which is used, where we need to store equivalent of to_ref in a holder. It works the same as to_ref, except it does perfect forwarding when output does not need to be converted to plain type. In other words it can return rvalue reference to input if the input does not need to be converted.

Improved make_holder, so that holder is not used if the given functor returns plain type or if all arguments are of types, which Eigen passes around by value in expressions.

Tests

All changes should be covered by expression testing framework. I am hoping nothing goes up in flame.

Side Effects

Like ... this whole PR? We never had exposed functions returning expressions.

Release notes

Prim functions now return expressions where that makes sense.

Checklist

Math issue Generalize matrix function signatures #1470
Copyright holder: Tadej Ciglarič

The copyright holder is typically you or your assignee, such as a university or company. By submitting this pull request, the copyright holder is agreeing to the license the submitted work under the following licenses:
- Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
- Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)
the basic tests are passing
- unit tests pass (to run, use: ./runTests.py test/unit)
- header checks pass, (make test-headers)
- dependencies checks pass, (make test-math-dependencies)
- docs build, (make doxygen)
- code passes the built in C++ standards checks (make cpplint)
the code is written in idiomatic C++ and changes are documented in the doxygen
the new changes are tested

…4.1 (tags/RELEASE_600/final)

stan/math/prim/fun/quad_form.hpp

stan/math/prim/fun/quad_form_sym.hpp

stan/math/prim/fun/to_ref.hpp

stan/math/prim/fun/unit_vector_constrain.hpp

…4.1 (tags/RELEASE_600/final)

… into return_expressions2

SteveBronder · 2020-11-19T22:44:21Z

Weird include error on poisson posted below

In file included from test/prob/poisson/poisson_00000_generated_ffd_test.cpp:3:
In file included from ./test/prob/test_fixture_distr.hpp:4:
In file included from ./stan/math/mix.hpp:6:
In file included from ./stan/math/prim.hpp:12:
In file included from ./stan/math/prim/prob.hpp:276:
In file included from ./stan/math/prim/prob/poisson_log.hpp:5:
./stan/math/prim/prob/poisson_lpmf.hpp:68:28: error: call to function 'sum' that is neither visible in the template definition nor found by argument-dependent lookup
  T_partials_return logp = sum(multiply_log(n_val, lambda_val));
                           ^
./stan/math/prim/prob/poisson_lpmf.hpp:85:10: note: in instantiation of function template specialization 'stan::math::poisson_lpmf<false, std::vector<int, std::allocator<int> >, stan::math::fvar<stan::math::fvar<double> > >' requested here
  return poisson_lpmf<false>(n, lambda);
         ^
./stan/math/prim/prob/poisson_log.hpp:23:10: note: in instantiation of function template specialization 'stan::math::poisson_lpmf<std::vector<int, std::allocator<int> >, stan::math::fvar<stan::math::fvar<double> > >' requested here
  return poisson_lpmf<T_n, T_rate>(n, lambda);
         ^
./test/prob/poisson/poisson_test.hpp:49:24: note: in instantiation of function template specialization 'stan::math::poisson_log<std::vector<int, std::allocator<int> >, stan::math::fvar<stan::math::fvar<double> > >' requested here
    return stan::math::poisson_log(n, lambda);
                       ^
./test/prob/test_fixture_distr.hpp:77:26: note: in instantiation of function template specialization 'AgradDistributionsPoisson::log_prob<std::vector<int, std::allocator<int> >, stan::math::fvar<stan::math::fvar<double> >, empty, empty, empty, empty>' requested here
      TestClass.template log_prob<T0, T1, T2, T3, T4, T5>(p0, p1, p2, p3, p4,
                         ^
./test/prob/test_fixture_distr.hpp:822:9: note: in instantiation of member function 'AgradDistributionTestFixture<boost::mpl::vector<AgradDistributionsPoisson, boost::mpl::vector<std::vector<int, std::allocator<int> >, stan::math::fvar<stan::math::fvar<double> >, empty, empty, empty, empty, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na>, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na> >::call_all_versions' requested here
  this->call_all_versions();
        ^
lib/benchmark_1.5.1/googletest/googletest/include/gtest/internal/gtest-internal.h:472:44: note: in instantiation of member function 'gtest_suite_AgradDistributionTestFixture_::CallAllVersions<boost::mpl::vector<AgradDistributionsPoisson, boost::mpl::vector<std::vector<int, std::allocator<int> >, stan::math::fvar<stan::math::fvar<double> >, empty, empty, empty, empty, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na>, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na> >::TestBody' requested here
  Test* CreateTest() override { return new TestClass; }
                                           ^
lib/benchmark_1.5.1/googletest/googletest/include/gtest/internal/gtest-internal.h:730:13: note: in instantiation of member function 'testing::internal::TestFactoryImpl<gtest_suite_AgradDistributionTestFixture_::CallAllVersions<boost::mpl::vector<AgradDistributionsPoisson, boost::mpl::vector<std::vector<int, std::allocator<int> >, stan::math::fvar<stan::math::fvar<double> >, empty, empty, empty, empty, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na>, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na> > >::CreateTest' requested here
        new TestFactoryImpl<TestClass>);
            ^
lib/benchmark_1.5.1/googletest/googletest/include/gtest/internal/gtest-internal.h:789:50: note: in instantiation of member function 'testing::internal::TypeParameterizedTest<AgradDistributionTestFixture, testing::internal::TemplateSel<CallAllVersions>, testing::internal::Types<boost::mpl::vector<AgradDistributionsPoisson, boost::mpl::vector<std::vector<int, std::allocator<int> >, stan::math::fvar<stan::math::fvar<double> >, empty, empty, empty, empty, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na>, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na>> >::Register' requested here
    TypeParameterizedTest<Fixture, Head, Types>::Register(
                                                 ^
test/prob/poisson/poisson_00000_generated_ffd_test.cpp:32:1: note: in instantiation of member function 'testing::internal::TypeParameterizedTestSuite<AgradDistributionTestFixture, testing::internal::Templates<CallAllVersions, ValidValues, InvalidValues, Propto, FiniteDiff, Function, RepeatAsVector, AsScalarsVsAsVector, Length0Vector>, testing::internal::Types<boost::mpl::vector<AgradDistributionsPoisson, boost::mpl::vector<std::vector<int, std::allocator<int> >, stan::math::fvar<stan::math::fvar<double> >, empty, empty, empty, empty, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na>, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na, mpl_::na>> >::Register' requested here
INSTANTIATE_TYPED_TEST_SUITE_P(AgradDistributionsPoisson_ffd_3, AgradDistributionTestFixture, AgradDistributionsPoisson_ffd_3);
^
lib/benchmark_1.5.1/googletest/googletest/include/gtest/gtest-typed-test.h:317:11: note: expanded from macro 'INSTANTIATE_TYPED_TEST_SUITE_P'
          Register(GTEST_STRINGIFY_(Prefix),                                \
          ^
./stan/math/fwd/fun/sum.hpp:43:24: note: 'sum' should be declared prior to the call site or in an associated namespace of one of its arguments
inline value_type_t<T> sum(const T& m) {                   ^

It looks like this is a clang specific error, but calling stan::math::sum() explicitly ala

  T_partials_return logp = stan::math::sum(multiply_log(n_val, lambda_val));

also gives an error that it can't find the correct sum function (it want's the fvar<> eigen version) gist). Though looking at the candidates it's not even finding the fvar version so I suspect this is something to do with a nasty include order. I think this is happening because prim/prob.hpp is being loaded too soon and I think I found the footgun in rev/fun/multiply.hpp which does

#include <stan/math/prim.hpp>

and that should be

// Or whatever functions it specifically needs but not /prob.hpp!
#include <stan/math/prim/fun.hpp>

I'm pretty sure I did that so my b. I fixed it over here, though I think just doing the above could work.

https://github.com/stan-dev/math/compare/fix/include-stuff-for-eigen-exprs

t4c1 · 2020-11-20T07:45:39Z

Thanks, that seems to work

bbbales2

Bunch o' comments and questions. Nothing big. Code looks good.

stan/math/prim/err/elementwise_check.hpp

stan/math/prim/fun/log_softmax.hpp

stan/math/prim/fun/quad_form.hpp

stan/math/prim/fun/quad_form_diag.hpp

stan/math/prim/fun/read_cov_L.hpp

test/unit/math/serializer.hpp

stan/math/prim/fun/softmax.hpp

stan/math/prim/fun/quad_form_sym.hpp

stan/math/prim/meta/holder.hpp

stan/math/prim/functor/apply_vector_unary.hpp

stan/math/prim/functor/apply_scalar_unary.hpp

stan/math/prim/functor/apply_vector_unary.hpp

bbbales2 · 2020-12-07T21:00:50Z

stan/math/prim/meta/holder.hpp

+template <typename T, require_t<std::is_rvalue_reference<T&&>>* = nullptr,
+          std::enable_if_t<
+              static_cast<bool>(Eigen::internal::traits<std::decay_t<T>>::Flags&
+                                    Eigen::NestByRefBit)>* = nullptr>


What is a NestByRefBit? This should probably go in the docs. I didn't find it searching Google

Eigen is stuck in C++03, in which rvalue references and perfect forwarding do not exist. So when constructing expressions, they can not know which arguments are rvalues and might go out of scope before the expression is evaled. Instead they decide which types to store by reference and which by value depending on the argument type. Lightweight objects, such as operations do not set NestByRefBit and are stored by value. Heavy objects, such as matrices set NestByRefBit and are stored by reference.

bbbales2 · 2020-12-07T21:07:28Z

@t4c1 two more questions

stan-buildbot · 2020-12-08T04:16:14Z

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
gp_pois_regr/gp_pois_regr.stan	3.7	3.44	1.08	7.02% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.02	0.02	0.99	-0.81% slower
eight_schools/eight_schools.stan	0.11	0.12	0.95	-5.16% slower
gp_regr/gp_regr.stan	0.17	0.15	1.1	9.47% faster
irt_2pl/irt_2pl.stan	5.8	5.81	1.0	-0.13% slower
performance.compilation	87.22	86.11	1.01	1.27% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.43	8.41	1.0	0.14% faster
pkpd/one_comp_mm_elim_abs.stan	29.76	30.05	0.99	-0.95% slower
sir/sir.stan	129.57	124.76	1.04	3.72% faster
gp_regr/gen_gp_data.stan	0.05	0.04	1.06	5.25% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.93	2.94	1.0	-0.31% slower
pkpd/sim_one_comp_mm_elim_abs.stan	0.4	0.4	1.02	2.13% faster
arK/arK.stan	1.76	1.77	1.0	-0.24% slower
arma/arma.stan	0.74	0.58	1.27	21.12% faster
garch/garch.stan	0.61	0.6	1.02	1.66% faster
Mean result: 1.03477853458

Jenkins Console Log
Blue Ocean
Commit hash: 8dfd5b0

Machine information

ProductName: Mac OS X ProductVersion: 10.11.6 BuildVersion: 15G22010

CPU:
Intel(R) Xeon(R) CPU E5-1680 v2 @ 3.00GHz

G++:
Configured with: --prefix=/Applications/Xcode.app/Contents/Developer/usr --with-gxx-include-dir=/usr/include/c++/4.2.1
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

Clang:
Apple LLVM version 7.0.2 (clang-700.1.81)
Target: x86_64-apple-darwin15.6.0
Thread model: posix

bbbales2 · 2020-12-08T13:54:40Z

Alright, expressions are tested and should work so I merged

But @rok-cesnovar @SteveBronder @andrjohns @wds15 if you see something weird, say something. This is a pretty big new feature!

…sions2" This reverts commit 6b2fd28, reversing changes made to 0d706ef.

hsbadr · 2020-12-09T21:11:00Z

@t4c1 @bbbales2 @SteveBronder Could be irrelevant (as I'm using unsupported development combination), but I wanted to report it anyway. I know that rstan isn't up to date with stan and math, but this PR breaks the development version for me. Reverting it fixes the model compilation errors, even with the current development version of math. Template functions are rejected because at least one template argument could not be deduced. Here's an example when compiling EpiNow2 (note that I get similar errors when building rstanarm too):

stanExports_simulate_secondary.h(1594): error: no instance of function template "model_simulate_secondary_namespace::report_rng" matches the argument list
            argument types are: (Eigen::VectorBlock<const Eigen::Matrix<double, -1, 1, 0, -1, 1>, -1>, const std::vector<double, std::allocator<double>>, const int, boost::random::ecuyer1988, std::ostream *)
                              report_rng(tail(secondary, (all_dates ? t : h )), get_base1(rep_phi, i, "rep_phi", 1), model_type, base_rng__, pstream__),
                              ^
stanExports_simulate_secondary.h(965): note: this candidate was rejected because at least one template argument could not be deduced
  report_rng(const Eigen::Matrix<T0__, Eigen::Dynamic, 1>& reports,
  ^
          detected during:
            instantiation of "void model_simulate_secondary_namespace::model_simulate_secondary::write_array(RNG &, std::vector<double, std::allocator<double>> &, std::vector<int, std::allocator<int>> &, std::vector<double, std::allocator<double>> &, bool, bool, std::ostream *) const [with RNG=boost::random::ecuyer1988]" at line 1625
            instantiation of "void model_simulate_secondary_namespace::model_simulate_secondary::write_array(RNG &, Eigen::Matrix<double, -1, 1, 0, -1, 1> &, Eigen::Matrix<double, -1, 1, 0, -1, 1> &, bool, bool, std::ostream *) const [with RNG=boost::random::ecuyer1988]" at line 138 of "/mnt/local_drive/badr/r/lib/R/library/StanHeaders/include/src/stan/model/model_base_crtp.hpp"
            instantiation of "void stan::model::model_base_crtp<M>::write_array(boost::random::ecuyer1988 &, Eigen::VectorXd &, Eigen::VectorXd &, bool, bool, std::ostream *) const [with M=model_simulate_secondary_namespace::model_simulate_secondary]"

rok-cesnovar · 2020-12-09T21:19:49Z

Thanks for the report. Is this using the old stan to c++ compiler? Did you use what rstan uses but just swapped out the math?

bbbales2 · 2020-12-09T21:22:04Z

Yeah thanks for checking this. For clarification, is this breaking the current rstan develop branch? Or a custom rstan branch with a manually updated math?

hsbadr · 2020-12-09T21:36:47Z

This breaks a custom rstan development version that fixes some issues with R-Devel , uses the development version of math, RcppEigen, and RcppParallel – linked to the system (Intel OneAPI) TBB. Everything is tested and working properly, when this PR is reverted.

PS: I'd like to push my changes in PRs but need time to assure backward compatibility.

rok-cesnovar · 2020-12-09T21:44:02Z

The problem here is that this math version will only work properly for all cases with the latest stanc3 version. That will be available to rstan in the next release and hopefully in the next few weeks on Github. Before that happens you need to revert this PR on your fork.

hsbadr · 2020-12-09T21:45:11Z

Sounds good. Thanks @rok-cesnovar!

rok-cesnovar · 2020-12-09T21:48:46Z

The problem is that user defined functions need to be generated in such a way that they are able to support input Eigen expressions. And stanc2, which is whar cran rstan uses, does not have that support.

hsbadr · 2020-12-09T21:54:05Z

I see. Looking forward to seeing rstan supports stanc3. The current development version on GitHub does not.

hsbadr · 2020-12-14T06:06:30Z

@rok-cesnovar I confirm that modifying rstan::stanc to generate C++ code using stanc3 fixed the problem.

See hsbadr/rstan@114552e.

rok-cesnovar · 2020-12-14T07:05:07Z

That is great to hear! Thanks.

hsbadr · 2020-12-16T20:26:29Z

That will be available to rstan in the next release and hopefully in the next few weeks on Github.

@rok-cesnovar Where can I follow the active development of stanc3 support in rstan?

rok-cesnovar · 2020-12-16T21:46:44Z

I believe its this: https://github.com/stan-dev/rstan/tree/try_2.25

and its currently blocked by stan-dev/stanc3#762

hsbadr · 2020-12-16T21:53:43Z

Thanks @rok-cesnovar! That helps.

Partially revert stan-dev#2190. Signed-off-by: Hamada S. Badr <[email protected]>

Introduce `USE_STANC3` macro to branch changes specific to Stan 2.26 that cannot be supported by the older version of `stanc` transpiler. Partially reverts stan-dev#2190. Signed-off-by: Hamada S. Badr <[email protected]>

t4c1 and others added 7 commits November 12, 2020 12:31

first pass

cfb04b8

added apply_... stuff

db03168

fixed forwarding references in unit_vector_constrain.hpp

c1df65d

Merge commit '1b3feb7acaaf7b8cba88e30608f48b218dcd5142' into HEAD

7eded17

[Jenkins] auto-formatting by clang-format version 6.0.0-1ubuntu2~16.0…

0f85ba4

…4.1 (tags/RELEASE_600/final)

fix cpplint

c92d5f7

added a header back

26d745e

bbbales2 reviewed Nov 13, 2020

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t4c1 and others added 17 commits November 13, 2020 09:54

bugfixed apply return types

c08b000

removed redundand forwarding and to_forwarding_ref

4b830fc

Merge commit '495dc91dbfbca3586cb16a3fcc44e79af48d8050' into HEAD

3d13a2a

[Jenkins] auto-formatting by clang-format version 6.0.0-1ubuntu2~16.0…

20eb3cd

…4.1 (tags/RELEASE_600/final)

kick jenkins awake

14388eb

added missing header

eb7a24f

bugfixed apply_vector_unary and improved holder

1765307

bugfix binary_scalar_tester

46016f4

Merge commit '34a8f8b2692d8a5c26af650d922042341b9a567d' into HEAD

55bf3b2

[Jenkins] auto-formatting by clang-format version 6.0.0-1ubuntu2~16.0…

873458c

…4.1 (tags/RELEASE_600/final)

bugfix holder

a27e08e

fix serializer

a0091a2

[Jenkins] auto-formatting by clang-format version 6.0.0-1ubuntu2~16.0…

c3dbb27

…4.1 (tags/RELEASE_600/final)

revert diag_matrix

fa88821

Merge branch 'return_expressions2' of https://github.com/bstatcomp/math…

0b15e7b

… into return_expressions2

added include to poisson

435a2b0

fix includes

b2dbc29

bbbales2 requested changes Dec 4, 2020

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addressed review comments

bd33bbe

bbbales2 reviewed Dec 7, 2020

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make quad_form_sym use make_holder

8dfd5b0

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bbbales2 reviewed Dec 7, 2020

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bbbales2 approved these changes Dec 8, 2020

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bbbales2 merged commit 6b2fd28 into stan-dev:develop Dec 8, 2020

rok-cesnovar deleted the return_expressions2 branch December 8, 2020 13:55

hsbadr added a commit to hsbadr/math that referenced this pull request Dec 9, 2020

Revert "Merge pull request stan-dev#2190 from bstatcomp/return_expres…

2092280

…sions2" This reverts commit 6b2fd28, reversing changes made to 0d706ef.

hsbadr mentioned this pull request Dec 17, 2020

javascript parser chokes on #-style comments stan-dev/stanc3#741

Closed

hsbadr mentioned this pull request Jan 29, 2021

Welcome Stan 2.27 and beyond! stan-dev/rstan#887

Merged

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hsbadr added a commit to hsbadr/math that referenced this pull request Feb 7, 2021

Revert "Let prim functions return expressions"

f2f2130

Partially revert stan-dev#2190. Signed-off-by: Hamada S. Badr <[email protected]>

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Let prim functions return expressions #2190

Let prim functions return expressions #2190

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