MAmarmaduke·Jul 22, 2019
> here is the github: https://github.com/chriselrod/ProbabilityModels.jl. In the example I give there, the logdensity and gradient evaluation was about 25x faster than Stan, and sampling was about 20x faster.
that looks pretty cool, though I don't yet know enough Julia to understand all of it. The speedups make sense given that Stan's compiler/math lib doesn't do much in the way of smart data layout. I would still keep in mind that the metric worth using for benchmarking is the number of effective samples per second, and this also depends on the HMC variant you use.
> Eigen's fixed size arrays to get about 3-8x worse performance than my Julia library
seems unsurprising that Julia can specialize a lot better than verbose C++ templating, no? (still, good job, very worth checking out)
> I was getting errors when specifying -DEIGEN_ENABLE_A
Read the rest
VX512
I used this flag with Eigen 3.3.1, I think, on GCC 6 or 7. This was for Xeon Phi, so I tried to use icc but despite supporting C++11 it doesn't handle Stan or Eigen's template metaprogramming.
This is all the more reason to use Julia, but my graduate student days are long past..