v2.19.1 (18 Apr 2019)

v2.19.1 (18 Apr 2019)

This is a release out of cycle to address a performance bug in v.2.19 (stan-dev/stan#2748)

New Features

• GLM Optimizations, especially for small number of attributes. ( #1185 )
• Simplifies several prim/mat/fun functions using Eigen's vectorisation. (#1092)
  The following functions have been changed to use Eigen under the hood, usage remain the same:
  • add
  • add_diag
  • apply_scalar_unary
  • cholesky_corr_constrain
  • columns_dot_product
  • cumulative_sum
  • diag_post_multiply
  • diag_pre_multiply
  • divide_columns
  • elt_divide
  • elt_multiply
  • log_softmax
  • log_sum_exp
  • max
  • mean
  • min
  • prod
  • quad_form
  • quad_form_diag
  • quad_form_sym
  • rows_dot_product
  • softmax
  • subtract
  • variance
• Adds two new opencl kernels for operations matrixvector and vectormatrix. (#1192)

Bug Fixes

• Fixing Missing bounds checks in some lpdfs (#1101)

Other

• Add option of having device functions shared across opencl kernels. (#1201)
• New version of to_size_t to get rid of an assert (#1172)

v2.19.0 (20 Mar 2019)

v2.19.0 (20 Mar 2019)

Slow to arrive, but fast to compute: Stan has GPU support!

Stan 2.19 brings GPU-optimized computation to Stan users. The first supported
function is Cholesky decomposition, the main bottleneck of many common
statistical models. Activating GPU support is easy - only a few lines are added
to the configuration and no changes have to be made to the Stan model. Cholesky
decompositions of larger matrices (including their gradients, when dealing with
parameters) are then automatically transferred to the GPU with speedups ranging
from 10 to 30, depending on matrix size and GPU.

Other GPU-optimized matrix algebra primitives and common statistical models are
soon to follow: matrix multiplication, lower triangular inverse,
eigendecomposition, GP covariance functions and several GLMs. The implementation
is based on OpenCL, so it can be used with any GPU and GPU programming-savvy
users can also add their own custom OpenCL kernels.

New Features

• GPU
  • matrix multiplication (#974)
  • inverse of lower triangular matrix (#1028)
  • Operator overloading for GPU functions (#1056)
  • Cholesky decomposition (#1058)
  • specialized reverse-mode implementation for cholesky decompse (#1117)
• Host doxygen API doc on https://mc-stan.org/math/ (#500)
• Makefile completely rewritten (#581, #954, #1041, #1043, #1087)
• Adding beta_proportion distribution (#1018)
• adjoint vector-Jacobian product form of precomputed gradients for reverse (#876)
• Add alternative inv_logit parameterization to prevent underflow (#874)

Bug Fixes

• Improved derivative for Gamma CDF w.r.t. alpha (#525)
• value_of incorrectly returned the wrong type (#968)
• sum incorrectly returned the wrong type (#987)
• matrix_exp incorrectly passed the argument by values (#769)
• Unit testing with Windows on Jenkins (#1046)
• gp_cov_exp_quad was computing the ARD mixing up rows and cols (#984)
• Fixing GoodGammaP for gcc 7.3 (#1063)

Other

• Clarity on what's being tested in Math (one compiler per OS) (#943)
• Updated GitHub templates (#911)
• Improve ODE speed (#1049)
• Fix tests for threading (#1058)
• Upgrade Google Test to v1.8.1 (#1051)
• Upgrade Sundials to v4.1.0 (#1097)
• Matrix exponential action:
  • A fast implementation was implemented (#771), but it had errors (#)
  • Currently, a slow implementation is in the codebase.
• Improve the codebase:
  • Code spacing (#587)
  • Using varidic template parameters for return_type, partials_return_type,
    and include_summands (#977)
  • Fixing math constants definitions for Windows (#986)
  • Avoid ambiguous instantiation of math::sqrt() by implementing for double
    and int (#712)
  • Clean up GPU code:
    • Seperate OpenCL kernel access into it's own class (#973)
    • read_only and write_only decorators in GPU kernels fail in Windows (#1034)
  • Fixing uninitialized values in tests:
    • bernoulli_logit_glm_lpdf test (#995)
    • check_greater test (#819)
    • gp_exponential_cov_test failing (#1150)
  • Updating template parameters of matern32 (#981)
  • Update gp_dot_prod_cov (#979)
  • Deprecating old GP covariance function names (#756)
  • Fixed compiler warnings in test-headers (#1110)
  • Adding required headers (#1106)
  • Turn test-math-dependencies warnings into failures on Jenkins (#1078)
  • Replace boost::type_traits with std:: versions (#1126)
  • Fix doxygen errors (#1139)za
  • Clean up anaonymous namespace usage (#1006)
  • Setting STAN_NUM_THREADS to illegal value should produce an error (#947)

v2.18.1 - Fixes major threading bug in 2.18.0!

v.2.18.1 (22 December 2018)

Bugfix release - fixes major bug in threading where certain thread count and
job size combinations could result in incorrect output. See
https://discourse.mc-stan.org/t/bug-in-map-rect-with-threading-in-stan-2-18-0/7056
for more details.

Bug Fixes

• Fix threading batch size bug (#1075)

v2.18.0 **Contains threading bug with map_rect**

v.2.18.0 (13 July 2018)

This is our first release with parallelism (through C++11 threads or MPI)!

New Features

• Support for MPI parallelization with map_rect
• Support for threaded AD and a threaded map_rect implementation (#809)
• New periodic covariance function (#921)
• Integrated Boost's 1 dimensional integrator (#913)
• Added thin QR decomposition (#900)
• New add_diag function for adding a real or vector to the diagonal of a matrix (#871)
• New log_inv_logit_diff function for the log of the difference of two inverse logits (#856)
• New dot product kernel for GPs (#834)
• Vectorized many more RNGs (#833, #722, #622)
• Add matrix_exp_action to calculate exp(At)*B (#830)
• log_mix vectorized (#751, #664)
• New integrators from CVODES (integrate_ode_adams, _bdf) (#735)
• New std_normal (#609)
• New std_normal_log (#728)
• New GLM primitive normal_id_glm (#665)
• New chol2inv that computes a matrix's inverse from its Cholesky factor (#649)
• New poisson_log_glm poisson regression with log link (#647)
• New vectorized ordered_probit (#645)
• New log_modified_bessel_first_kind that expands where Bessel 1 function can be used (#640)
• New bernoulli logit GLM (#608)

Bug Fixes

• Rising and falling factorial were not accepting negative arguments (#636)
• Fix normalizing constant for LKJ distribution (#628)

Other

• Tweaks to effective_sample_size for performance and upstream compatibility (#865)
• Switch to sundials package combining CVODES and IDAS, updating versions (#779, #744)
• Now publishing the Math doxygen (http://mc-stan.org/math/)
• Faster dirichlet_lpdf accepting more vector types (#788)
• Upgrade to Boost 1.66 (#766)
• Improved derivatives for Gamma CDF (#780)
• Sped up multi_normal_cholesky (#753)
• More efficient mdivide_right_tri (#715)
• More efficient integrate_ode_rk45_grad_test (#714)
• Make algebraic solver easier to use (#703, #697)
• Begin thinking about internal compatibility for complex numbers (#643)
• Faster pow (#642)

v2.17.1

Bug Fixes

• Fix performance regression in 2.17.0 (#667)

v2.17.0

v.2.17.0 (05 September 2017)

New Features

• New algebraic solver! (stan-dev/stan#2023, #516)
• append_array now supports vectors of vectors

Other

• C++11 (and some of 14) now supported; see https://github.com/stan-dev/stan/wiki/Supported-C---Compilers-and-Language-Features
• Updated to Boost 1.64.0 (#599)
• Makefile refactoring (#602, others)
• New forward-mode test kit (#557, #568)
• replace copy args with refs (#346)

v2.16.0

v.2.16.0 (15 June 2017)

New Features

• New append_array function
• Add categorical_logit_rng function

Bug Fixes

• Align gamma_* function parameter names with documentation

Other

• Update to Eigen 3.3.3
• Support g++ 4.9
• Fix overload logic in mdivide_left_tri_low so that it calls the var version of mdivide_left_tri where appropriate.
• Check consistent size of state and dy_dt in ode_system
• OperandsAndPartials refactor with new multivariate / nested container support
• Update LLT to inplace decomposition per eigen 3.3 doc
• Disable printf functions from CVODES

v2.15.0

v.2.15.0 (13 April 2017)

New Features

• Efficient blocking algorithm for gradient of the Cholesky (#384)
• Univariate normal distribution on sufficient statistics (#38)
• New to_matrix function for real arrays(real[]) (#467)
• New specialization of stan::math::array_builder for matrix types (#496)

Bug Fixes

• Fixes to hypergeometric functions (#487)

Other

• Speedup for categorical_rng (#503)
• Speedup for non-stiff ODE integration (#512)
• Refactor VectorView into scalar_seq_view (#464)
• Deprecate _log distribution functions; use _lpdf / _lpmf / _lcdf / _lccdf (#320)

v2.14.0

v.2.14.0 (26 December 2016)

Bug Fixes

• neg_binomial_2_log problem with large values of phi (#463)

Other

• Remove check_equal() function (#398)

v2.13.0

v2.13.0 (25 November 2016)

New Features

• vectorization of unary functions (#347)
• specialized gradients for cov_exp_quad for amplitude and/or length-scale
  parameters and input data (#353)
• math library is consistent with Eigen 3.2.9 and 3.3.0 (#432, #429)
• added choose(n, k) function (#400)
• added bernoulli_logit_rng function (#258)

Bug Fixes

• beta_rng no longer returns NaN
• fixed memory issue with cholesky_decompose in reverse-mode (#415)
• no more multiple definitions when including Stan headers in
  multiple source files (#394)
• fixed broken _MSC_VER conditionals and remove math.h includes (#370)

Other

• chi-square test in RNG testing pulled into utility function (#412)
• error check functions are now all void functions (#382)
• remove math.h includes (#277)
• update to Boost 1.62.0 (#435)