I’ve made a repository with a working example of converting a Stan model to exploit cmdstan 2.18.0’s multithreading. It has a big friendly README.
Hope this is useful. If I get time, I’ll do a hierarchical example with the same data.
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PyStan 2.18 was released at StanCon.
It supports multithreading.
No MPI yet.
https://pystan.readthedocs.io/en/latest/threading_support.html