Parallel computation of chains for rstan using doMC

rstan_parallel.R

library(rstan)
library(plyr)
library(doMC)
options(cores=4) #set this appropriate to your system
registerDoMC()

#This example assumes you have the rats.txt and rats.stan example files in your working directory
# rats.txt: http://wiki.stan.googlecode.com/git/rstangettingstarted/rats.txt
# rats.stan: http://stan.googlecode.com/git/src/models/bugs_examples/vol1/rats/rats.stan

#set up the rats example
y <- read.table('rats.txt', header = TRUE)
x <- c(8, 15, 22, 29, 36)
rats_dat <- list(
	N = nrow(y)
	, T = ncol(y)
	, x = x
	, y = y
	, xbar = mean(x)
)

#fit once to compile
initial_fit <- stan(
	file = 'rats.stan'
	, data = rats_dat
	, verbose = FALSE
	, chains = 1
	, iter = 1
)

#set the number of chains to produce in each case
num_chains = 4

#serial case
start <- proc.time()[3]
serial_fit <- stan(
	fit = initial_fit
	, data = rats_dat
	, verbose = FALSE
	, chains = num_chains
	, iter = 10000
)
proc.time()[3] - start


#prep for parallel case
fun <- function(){
	fit <- stan(
		fit = initial_fit
		, data = rats_dat
		, iter = 10000
		, chains = 1
		, verbose = F
	)
	return(attr(fit,'sim'))
}

#parallel case
start <- proc.time()[3]
parallel_fit <- foreach(i = 1:num_chains) %dopar% fun()
proc.time()[3] - start