How to define STAN_THREADS?

Developers
1

I’m running sampling with pure C++ and I’m having issues when trying to run sampling in parallel. I read another post there it says you need to define STAN_THREADS. I’m not sure how or where to do that. Everything works fine with one chain. When I use two chains, it gives various errors (i.e. malloc: *** error for object 0x7f8a04f00738: pointer being freed was not allocated). Here’s what I’m trying to do (some code omitted for clarity).

std::thread *threadArray = new std::thread[chains];
for (int i = 0; i < chains; i++) {
        threadArray[i] = std::thread([i]() {
             ...
             linear_model *model = new linear_model(varContext, 123456789, &amp;pstream);
             ...
             int returnCode = stan::services::sample::hmc_nuts_diag_e_adapt<linear_model>(
                                *model, context, 123456789, i, 2,
                                500, 500, 1,
                                false, 100,
                                1, 0, 10,
                                0.8, 0.05, 0.75, 10,
                                75, 50, 25,
                                interrupt, logger, init,
                                *parameter, diagnostic);
        ...
        });

}

for (int i = 0; i < chains; ++i) {
    threadArray[i].join();
}
2

You need to add -DSTAN_THREADS to the compiler flags… or use a define for the same effect in your code.

3

Thanks wds15. Looks like that was it. I had some other issue.

4

Hey @stanuser! How exactly did you add -DSTAN_THREADS to the compiler flags? I’ve tried multiple times and it just doesn’t work for me…

5

It’ll depend on what interface you’re using… are you on CmdStan?

6

I’m using the Stan Math Library in C++ via the #include <stan/math.hpp> include and I need the auto differentiation to be thread-safe.

7

How do you add it in cmdstan?

8

I found it:

make STAN_THREADS=TRUE  model_name 
./model_name sample num_threads=4
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