sflist2stanfit: Merge a list of stanfit objects into one

Description

This function takes a list of stanfit objects and returns a consolidated stanfit object. The stanfit objects to be merged need to have the same configuration of iteration, warmup, and thin, besides being from the same model. This could facilitate some parallel usage of RStan. For example, if we call stan by parallel and it returns a list of stanfit objects, this function can be used to create one stanfit object from the list.

Usage

sflist2stanfit(sflist)

Arguments

sflist

A list of stanfit objects.

Value

An S4 object of stanfit consolidated from all the input stanfit objects.

References

The Stan Development Team Stan Modeling Language User's Guide and Reference Manual. http://mc-stan.org/.

Examples

Run this code

# NOT RUN {
library(rstan)
scode <- "
data {
  int<lower=1> N;
} 
parameters {
  real y1[N]; 
  real y2[N]; 
} 
model {
  y1 ~ normal(0, 1);
  y2 ~ double_exponential(0, 2);
} 
"
seed <- 123 # or any other integer 
foo_data <- list(N = 2)
foo <- stan(model_code = scode, data = foo_data, chains = 1, iter = 1)
f1 <- stan(fit = foo, data = foo_data, chains = 1, seed = seed, chain_id = 1) 
f2 <- stan(fit = foo, data = foo_data, chains = 2, seed = seed, chain_id = 2:3) 
f12 <- sflist2stanfit(list(f1, f2)) 

## parallel stan call for unix-like OS
library(parallel)

if (.Platform$OS.type == "unix") {
sflist1 <- 
  mclapply(1:4, mc.cores = 2, 
           function(i) stan(fit = foo, data = foo_data, seed = seed, 
	                    chains = 1, chain_id = i, refresh = -1))
f3 <- sflist2stanfit(sflist1)
}
if (.Platform$OS.type == "windows") { # also works on non-Windows
CL <- makeCluster(2)
clusterExport(cl = CL, c("foo_data", "foo", "seed")) 
sflist1 <- parLapply(CL, 1:4, fun = function(cid) {  
  require(rstan)
  stan(fit = foo, data = foo_data, chains = 1, 
       iter = 2000, seed = seed, chain_id = cid)
})

fit <- sflist2stanfit(sflist1)
print(fit)
stopCluster(CL)
} # end example for Windows 
# }