Interpolation example

interpolation.stan

functions {
  real interpolate_linear(vector z, vector ts, real t){
    /* Equation from https://en.wikipedia.org/wiki/Linear_interpolation */
    for (i in 1:rows(ts)-1){
      if ((ts[i] < t) && (ts[i+1] > t)){
        return z[i] + (t - ts[i]) * (z[i + 1] - z[i]) / (ts[i + 1] - ts[i]);
      }
    }
    reject("Bad inputs: ", z, ts, t);
  }
  vector sir(real t, vector y, vector theta, vector ts, vector z){
    return [
      -theta[1] * y[2] * y[1],
      theta[1] * y[2] * y[1] - theta[2] * y[2] + interpolate_linear(z, ts, t),
      theta[2] *  y[2]
    ]';
  }
}
data {
  int<lower=1> N;
  int<lower=1> N_ode_integration_times;
  real t0;
  vector[3] y0;
  array[N_ode_integration_times] real ode_integration_times;
  ordered[N] ts;
  vector[N] z;
}
parameters {
  vector[2] theta;
}
transformed parameters{
  array[N_ode_integration_times] vector[3] yhat =
    ode_rk45(sir, y0, t0, ode_integration_times, theta, ts, z);
}
model {
  theta ~ normal(0, 1);
}

script.py

import cmdstanpy

DATA = {
    "N": 3,
    "N_ode_integration_times": 4,
    "t0": 0.1,
    "y0": [1, 2, 3],
    "ode_integration_times": [1, 3, 5, 10],
    "ts": [0.05, 4, 12],
    "z": [1.2, 4.5, 6.0],
}
SAMPLE_KWARGS = {
    "chains": 1,
    "iter_sampling": 20,
    "iter_warmup": 20
}


def main(data, sample_kwargs):
    assert data["ts"][0] < data["t0"] and data["ts"][-1] > data["t0"], "Bad data!"
    model = cmdstanpy.CmdStanModel(stan_file="interpolation.stan")
    mcmc = model.sample(data=data, **sample_kwargs)
    print(mcmc.summary())


if __name__ == '__main__':
    main(DATA, SAMPLE_KWARGS)

Hi Teddy, That is great. I am just getting an error in running the code after finishing the chain. It seems printing result problem!!

INFO:cmdstanpy:found newer exe file, not recompiling
INFO:cmdstanpy:compiled model file: /content/interpolation
INFO:cmdstanpy:start chain 1
INFO:cmdstanpy:finish chain 1

RuntimeError Traceback (most recent call last)
in ()
26
27 if name == 'main':
---> 28 main(DATA, SAMPLE_KWARGS)
29
30 from google.colab import drive

2 frames
/usr/local/lib/python3.7/dist-packages/cmdstanpy/utils.py in do_command(cmd, cwd, logger)
731 if stderr:
732 msg = 'ERROR\n {} '.format(stderr.decode('utf-8').strip())
--> 733 raise RuntimeError(msg)
734 if stdout:
735 return stdout.decode('utf-8').strip()

RuntimeError: ERROR
The following argument was not expected: --csv_file=/tmp/tmpeob9l_5g/stansummary-interpolation-1-chain-ftm6x3a4.csv
Run with --help for more information.

Hi again! I don't think I've seen that exact error before but it looks like what might happen with incompatible versions of cmdstanpy and cmdstan. To check this you could try seeing if the following code runs without errors (it's the hello world example from here):

import os
from cmdstanpy import cmdstan_path, CmdStanModel

stan_file = os.path.join(cmdstan_path(), 'examples', 'bernoulli', 'bernoulli.stan')
model = CmdStanModel(stan_file=stan_file)
fit = model.sample()

You can also just check the versions in an interactive python session with cmdstanpy imported like this (I've included the output I got):

In [36]: cmdstanpy.cmdstan_version()
Out[36]: (2, 29)

In [37]: cmdstanpy.__version__
Out[37]: '1.0.1'