The Stan Math Library is a C++, reverse-mode automatic differentiation library designed to be usable, extensive and extensible, efficient, scalable, stable, portable, and redistributable in order to facilitate the construction and utilization of algorithms that utilize derivatives.
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The Stan Math Library is licensed under the new BSD license.
The Stan Math Library depends on the Intel TBB library which is licensed under the Apache 2.0 license. This dependency implies an additional restriction as compared to the new BSD license alone. The Apache 2.0 license is incompatible with GPL-2 licensed code if distributed as a unitary binary. You may refer to the Apache 2.0 evaluation page on the Stan Math wiki.
Stan Math depends on four libraries:
- Boost (version 1.72.0): Boost Home Page
- Eigen (version 3.3.9: Eigen Home Page
- SUNDIALS (version 5.5.0): Sundials Home Page
- Intel TBB (version 2019_U8): Intel TBB Home Page
These are distributed under the lib/ subdirectory. Only these
versions of the dependent libraries have been tested with Stan Math.
Documentation for Stan math is available at mc-stan.org/math
The Stan Math Library is a C++ library which depends on the Intel TBB library and requires for some functionality (ordinary differential equations and root solving) the Sundials library. The build system is the make facility, which is used to manage all dependencies.
A simple hello world program using Stan Math is as follows:
#include <stan/math.hpp>
#include <iostream>
int main() {
std::cout << "log normal(1 | 2, 3)="
<< stan::math::normal_log(1, 2, 3)
<< std::endl;
}If this is in the file /path/to/foo/foo.cpp, then you can compile
and run this with something like this, with the /path/to business
replaced with actual paths:
> cd /path/to/foo
> make -j4 -f /path/to/stan-math/make/standalone math-libs
> make -f /path/to/stan-math/make/standalone foo
> ./foo
log normal(1 | 2, 3)=-2.07311The first make command with the math-libs target ensures that all
binary dependencies of Stan Math are built and ready to use. The -j4
instructs make to use 4 cores concurrently which should be adapted
to your needs. The second make command ensures that the Stan Math
sources and all of the dependencies are available to the compiler when
building foo.
An example of a real instantiation whenever the path to Stan Math is
~/stan-dev/math/:
> make -j4 -f ~/stan-dev/math/make/standalone math-libs
> make -f ~/stan-dev/math/make/standalone fooThe math-libs target has to be called only once, and can be omitted
for subsequent compilations.
The standalone makefile ensures that all the required -I include
statements are given to the compiler and the necessary libraries are
linked: ~/stan-dev/math and ~/stan-dev/math/lib/eigen_3.3.9 and
~/stan-dev/math/lib/boost_1.72.0 and
~/stan-dev/math/lib/sundials_5.5.0/include and
~/stan-dev/math/lib/tbb_2019_U8/include. The
~/stan-dev/math/lib/tbb directory is created by the math-libs
makefile target automatically and contains the dynamically loaded
Intel TBB library. The flags -Wl,-rpath,... instruct the linker to
hard-code the path to the dynamically loaded Intel TBB library inside
the stan-math directory into the final binary. This way the Intel TBB
is found when executing the program.
Note for Windows users: On Windows the -rpath feature as used by
Stan Math to hardcode an absolute path to a dynamically loaded library
does not work. On Windows the Intel TBB dynamic library tbb.dll is
located in the math/lib/tbb directory. The user can choose to copy
this file to the same directory of the executable or to add the
directory /path/to/math/lib/tbb as absolute path to the system-wide
PATH variable.
The above example will use the default compiler of the system as
determined by make. On Linux this is usually g++, on MacOS
clang++, and for Windows this is g++ if the RTools for Windows are
used. There's nothing special about any of these and they can be
changed through the CXX variable of make. The recommended way to
set this variable for the Stan Math library is by creating a
make/local file within the Stan Math library directory. Defining
CXX=g++ in this file will ensure that the GNU C++ compiler is always
used, for example. The compiler must be able to fully support C++11
and partially the C++14 standard. The g++ 4.9.3 version part of
RTools for Windows currently defines the minimal C++ feature set
required by the Stan Math library.
Note that whenever the compiler is changed, the user usually must clean and rebuild all binary dependencies with the commands:
> make -f path/to/stan-math/make/standalone math-clean
> make -j4 -f path/to/stan-math/make/standalone math-libsThis ensures that the binary dependencies are created with the new compiler.