cross-chain warmup

.gitmodules

@@ -1,3 +1,4 @@
 [submodule "lib/stan_math"]
 	path = lib/stan_math
 	url = https://github.com/stan-dev/math.git
+        branch = mpi_warmup_v2

make/mpi_warmup.mk

@@ -0,0 +1,5 @@
+ifdef MPI_ADAPTED_WARMUP
+  CXXFLAGS += -DSTAN_LANG_MPI -DMPI_ADAPTED_WARMUP
+  CC=mpicxx
+  CXX=mpicxx
+endif

makefile

@@ -13,6 +13,7 @@ help:
 
 -include $(HOME)/.config/stan/make.local  # user-defined variables
 -include make/local                       # user-defined variables
+-include make/mpi_warmup.mk
 
 MATH ?= lib/stan_math/
 ifeq ($(OS),Windows_NT)

src/stan/callbacks/mpi_stream_writer.hpp

@@ -0,0 +1,138 @@
+#ifndef STAN_CALLBACKS_MPI_STREAM_WRITER_HPP
+#define STAN_CALLBACKS_MPI_STREAM_WRITER_HPP
+
+#ifdef MPI_ADAPTED_WARMUP
+
+#include <stan/callbacks/writer.hpp>
+#include <stan/math/mpi/envionment.hpp>
+#include <ostream>
+#include <vector>
+#include <string>
+
+namespace stan {
+  namespace callbacks {
+    /**
+     * <code>mpi_stream_writer</code> is an implementation
+     * of <code>writer</code> that writes to a stream.
+     */
+    class mpi_stream_writer : public writer {
+    public:
+      /**
+       * Constructs a stream writer with an output stream
+       * and an optional prefix for comments.
+       *
+       * @param[in, out] output stream to write
+       * @param[in] comment_prefix string to stream before
+       *   each comment line. Default is "".
+       */
+      mpi_stream_writer(int num_chains, std::ostream& output,
+                        const std::string& comment_prefix = "")
+        : num_chains_(num_chains), output_(output),
+          comment_prefix_(comment_prefix)
+      {}
+
+      /**
+       * Virtual destructor
+       */
+      virtual ~mpi_stream_writer() {}
+
+      /**
+       * Set new value for @c num_chains_.
+       *
+       * @param[in] n new value of @c num_chains_
+       */
+      void set_num_chains(int n) {
+        num_chains_ = n;
+      }
+
+      /**
+       * Writes a set of names on a single line in csv format followed
+       * by a newline.
+       *
+       * Note: the names are not escaped.
+       *
+       * @param[in] names Names in a std::vector
+       */
+      void operator()(const std::vector<std::string>& names) {
+        write_vector(names);
+      }
+
+      /**
+       * Writes a set of values in csv format followed by a newline.
+       *
+       * Note: the precision of the output is determined by the settings
+       *  of the stream on construction.
+       *
+       * @param[in] state Values in a std::vector
+       */
+      void operator()(const std::vector<double>& state) {
+        write_vector(state);
+      }
+
+      /**
+       * Writes the comment_prefix to the stream followed by a newline.
+       */
+      void operator()() {
+        if (stan::math::mpi::Session::is_in_inter_chain_comm(num_chains_)) {
+          output_ << comment_prefix_ << std::endl;
+        }
+      }
+
+      /**
+       * Writes the comment_prefix then the message followed by a newline.
+       *
+       * @param[in] message A string
+       */
+      void operator()(const std::string& message) {
+        if (stan::math::mpi::Session::is_in_inter_chain_comm(num_chains_)) {
+          output_ << comment_prefix_ << message << std::endl;
+        }
+      }
+
+    private:
+
+      /**
+       * nb. of chains that have its own output stream
+       */
+      int num_chains_;
+
+      /**
+       * Output stream
+       */
+      std::ostream& output_;
+
+      /**
+       * Comment prefix to use when printing comments: strings and blank lines
+       */
+      std::string comment_prefix_;
+
+      /**
+       * Writes a set of values in csv format followed by a newline.
+       *
+       * Note: the precision of the output is determined by the settings
+       *  of the stream on construction.
+       *
+       * @param[in] v Values in a std::vector
+       */
+      template <class T>
+      void write_vector(const std::vector<T>& v) {
+        if (stan::math::mpi::Session::is_in_inter_chain_comm(num_chains_)) {
+          if (v.empty()) return;
+
+          typename std::vector<T>::const_iterator last = v.end();
+          --last;
+
+          for (typename std::vector<T>::const_iterator it = v.begin();
+               it != last; ++it)
+            output_ << *it << ",";
+          output_ << v.back() << std::endl;
+        }
+      }
+    };
+
+  }
+}
+
+#endif
+
+#endif

src/stan/callbacks/stream_writer.hpp

@@ -7,101 +7,104 @@
 #include <string>
 
 namespace stan {
-namespace callbacks {
+  namespace callbacks {
 
-/**
- * <code>stream_writer</code> is an implementation
- * of <code>writer</code> that writes to a stream.
- */
-class stream_writer : public writer {
- public:
-  /**
-   * Constructs a stream writer with an output stream
-   * and an optional prefix for comments.
-   *
-   * @param[in, out] output stream to write
-   * @param[in] comment_prefix string to stream before
-   *   each comment line. Default is "".
-   */
-  explicit stream_writer(std::ostream& output,
-                         const std::string& comment_prefix = "")
-      : output_(output), comment_prefix_(comment_prefix) {}
+    /**
+     * <code>stream_writer</code> is an implementation
+     * of <code>writer</code> that writes to a stream.
+     */
+    class stream_writer : public writer {
+    public:
+      /**
+       * Constructs a stream writer with an output stream
+       * and an optional prefix for comments.
+       *
+       * @param[in, out] output stream to write
+       * @param[in] comment_prefix string to stream before
+       *   each comment line. Default is "".
+       */
+      stream_writer(std::ostream& output,
+                    const std::string& comment_prefix = ""):
+        output_(output), comment_prefix_(comment_prefix) {}
 
-  /**
-   * Virtual destructor
-   */
-  virtual ~stream_writer() {}
+      /**
+       * Virtual destructor
+       */
+      virtual ~stream_writer() {}
 
-  /**
-   * Writes a set of names on a single line in csv format followed
-   * by a newline.
-   *
-   * Note: the names are not escaped.
-   *
-   * @param[in] names Names in a std::vector
-   */
-  void operator()(const std::vector<std::string>& names) {
-    write_vector(names);
-  }
+      /**
+       * Writes a set of names on a single line in csv format followed
+       * by a newline.
+       *
+       * Note: the names are not escaped.
+       *
+       * @param[in] names Names in a std::vector
+       */
+      void operator()(const std::vector<std::string>& names) {
+        write_vector(names);
+      }
 
-  /**
-   * Writes a set of values in csv format followed by a newline.
-   *
-   * Note: the precision of the output is determined by the settings
-   *  of the stream on construction.
-   *
-   * @param[in] state Values in a std::vector
-   */
-  void operator()(const std::vector<double>& state) { write_vector(state); }
+      /**
+       * Writes a set of values in csv format followed by a newline.
+       *
+       * Note: the precision of the output is determined by the settings
+       *  of the stream on construction.
+       *
+       * @param[in] state Values in a std::vector
+       */
+      void operator()(const std::vector<double>& state) {
+        write_vector(state);
+      }
 
-  /**
-   * Writes the comment_prefix to the stream followed by a newline.
-   */
-  void operator()() { output_ << comment_prefix_ << std::endl; }
+      /**
+       * Writes the comment_prefix to the stream followed by a newline.
+       */
+      void operator()() {
+        output_ << comment_prefix_ << std::endl;
+      }
 
-  /**
-   * Writes the comment_prefix then the message followed by a newline.
-   *
-   * @param[in] message A string
-   */
-  void operator()(const std::string& message) {
-    output_ << comment_prefix_ << message << std::endl;
-  }
+      /**
+       * Writes the comment_prefix then the message followed by a newline.
+       *
+       * @param[in] message A string
+       */
+      void operator()(const std::string& message) {
+        output_ << comment_prefix_ << message << std::endl;
+      }
 
- private:
-  /**
-   * Output stream
-   */
-  std::ostream& output_;
+    private:
+      /**
+       * Output stream
+       */
+      std::ostream& output_;
 
-  /**
-   * Comment prefix to use when printing comments: strings and blank lines
-   */
-  std::string comment_prefix_;
+      /**
+       * Comment prefix to use when printing comments: strings and blank lines
+       */
+      std::string comment_prefix_;
 
-  /**
-   * Writes a set of values in csv format followed by a newline.
-   *
-   * Note: the precision of the output is determined by the settings
-   *  of the stream on construction.
-   *
-   * @param[in] v Values in a std::vector
-   */
-  template <class T>
-  void write_vector(const std::vector<T>& v) {
-    if (v.empty())
-      return;
+      /**
+       * Writes a set of values in csv format followed by a newline.
+       *
+       * Note: the precision of the output is determined by the settings
+       *  of the stream on construction.
+       *
+       * @param[in] v Values in a std::vector
+       */
+      template <class T>
+      void write_vector(const std::vector<T>& v) {
+        if (v.empty()) return;
 
-    typename std::vector<T>::const_iterator last = v.end();
-    --last;
+        typename std::vector<T>::const_iterator last = v.end();
+        --last;
 
-    for (typename std::vector<T>::const_iterator it = v.begin(); it != last;
-         ++it)
-      output_ << *it << ",";
-    output_ << v.back() << std::endl;
-  }
-};
+        for (typename std::vector<T>::const_iterator it = v.begin();
+             it != last; ++it)
+          output_ << *it << ",";
+        output_ << v.back() << std::endl;
+      }
+    };
 
-}  // namespace callbacks
-}  // namespace stan
+  }
+}
 #endif