math: Stan Math functions should not return Eigen expressions

Summary:

Using cmdstan-2.22.0.tar.gz, fixed stan-dev/cmdstan#804 so that make build works. EDIT: the same problem with the latest git commit e9075d0 EDIT: by @wds15 suggestion transferred tgo stanc3 repo

Using cmdstanr (but this is clearly an issue in cmdstan or stanc3)

One model compiles and runs successfully, but other one one fails the compilation.

Description:

This Stan model compiles and runs with previous cmdstan and 2.22.0

data {
  int<lower=0> D;           // number of dimensions
}
parameters {
  vector[D] mu; 
}
model {
  mu ~ normal(0, 1);
}

This model compiles and runs with the previous cmdstan, but doesn’t compile with 2.22.0

data {
  int<lower=0> n;				      // number of observations
  int<lower=0> d;             // number of predictors
  int<lower=0,upper=1> y[n];	// outputs
  matrix[n,d] x;				      // inputs
  real<lower=0> scale_icept;	// prior std for the intercept
  real<lower=0> scale_global;	// scale for the half-t prior for tau
  real<lower=1> nu_global;	  // degrees of freedom for the half-t priors for tau
  real<lower=1> nu_local;		  // degrees of freedom for the half-t priors for lambdas
                              // (nu_local = 1 corresponds to the horseshoe)
  real<lower=0> slab_scale;   // for the regularized horseshoe
  real<lower=0> slab_df;
}

parameters {
  real beta0;
  vector[d] z;                // for non-centered parameterization
  real <lower=0> tau;         // global shrinkage parameter
  vector <lower=0>[d] lambda; // local shrinkage parameter
  real<lower=0> caux;
}

transformed parameters {
  vector[d] beta;                     // regression coefficients
  {
    vector[d] lambda_tilde;   // 'truncated' local shrinkage parameter
    real c = slab_scale * sqrt(caux); // slab scale
    lambda_tilde = sqrt( c^2 * square(lambda) ./ (c^2 + tau^2*square(lambda)));
    beta = z .* lambda_tilde*tau;
  }
}

model {
  // half-t priors for lambdas and tau, and inverse-gamma for c^2
  z ~ std_normal();
  lambda ~ student_t(nu_local, 0, 1);
  tau ~ student_t(nu_global, 0, scale_global*2);
  caux ~ inv_gamma(0.5*slab_df, 0.5*slab_df);
  beta0 ~ normal(0, scale_icept);
  
  y ~ bernoulli_logit_glm(x, beta0, beta);
}

The start of the (very long) error message:

--- Compiling, linking C++ code ---
g++ -std=c++1y -pthread -D_REENTRANT -Wno-sign-compare      -I stan/lib/stan_math/lib/tbb_2019_U8/include -O3 -I src -I stan/src -I lib/rapidjson_1.1.0/ -I stan/lib/stan_math/ -I stan/lib/stan_math/lib/eigen_3.3.3 -I stan/lib/stan_math/lib/boost_1.72.0 -I stan/lib/stan_math/lib/sundials_4.1.0/include    -DBOOST_DISABLE_ASSERTS      -c  -x c++ -o /u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.o /u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.hpp
/u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.hpp: In instantiation of ‘T__ bernoulli_logit_glm_rhs_model_namespace::bernoulli_logit_glm_rhs_model::log_prob(std::vector<T_l>&, std::vector<int>&, std::ostream*) const [with bool propto__ = false; bool jacobian__ = false; T__ = double; std::ostream = std::basic_ostream<char>]’:
stan/src/stan/model/model_base_crtp.hpp:147:29:   required from ‘double stan::model::model_base_crtp<M>::log_prob(std::vector<double>&, std::vector<int>&, std::ostream*) const [with M = bernoulli_logit_glm_rhs_model_namespace::bernoulli_logit_glm_rhs_model; std::ostream = std::basic_ostream<char>]’
/u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.hpp:847:1:   required from here
/u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.hpp:392:32: error: no matching function for call to ‘multiply(double, Eigen::CwiseUnaryOp<stan::math::apply_scalar_unary<F, T, typename std::enable_if<stan::is_eigen<S, void>::value, void>::type>::apply(const T&) [with F = stan::math::square_fun; T = Eigen::Matrix<double, -1, 1>]::<lambda(stan::math::apply_scalar_unary<stan::math::square_fun, Eigen::Matrix<double, -1, 1>, void>::scalar_t)>, const Eigen::Matrix<double, -1, 1> >)’
             elt_divide(multiply(pow(c, 2), square(lambda)),
                                ^
In file included from stan/lib/stan_math/stan/math/prim/fun.hpp:195:0,
                 from stan/lib/stan_math/stan/math/prim.hpp:10,
                 from stan/lib/stan_math/stan/math/rev.hpp:11,
                 from stan/lib/stan_math/stan/math.hpp:148,
                 from stan/src/stan/model/model_header.hpp:4,
                 from /u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.hpp:3:
stan/lib/stan_math/stan/math/prim/fun/multiply.hpp:29:51: note: candidate: template<int R, int C, class T1, class T2, class> Eigen::Matrix<typename stan::return_type<T1, T2>::type, R, C> stan::math::multiply(const Eigen::Matrix<T1, R, C>&, T2)
 inline Eigen::Matrix<return_type_t<T1, T2>, R, C> multiply(
                                                   ^
stan/lib/stan_math/stan/math/prim/fun/multiply.hpp:29:51: note:   template argument deduction/substitution failed:
/u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.hpp:392:32: note:   mismatched types ‘const Eigen::Matrix<T1, R, C>’ and ‘double’
             elt_divide(multiply(pow(c, 2), square(lambda)),
                                ^
In file included from stan/lib/stan_math/stan/math/prim/fun.hpp:195:0,
                 from stan/lib/stan_math/stan/math/prim.hpp:10,
                 from stan/lib/stan_math/stan/math/rev.hpp:11,
                 from stan/lib/stan_math/stan/math.hpp:148,
                 from stan/src/stan/model/model_header.hpp:4,
                 from /u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.hpp:3:
stan/lib/stan_math/stan/math/prim/fun/multiply.hpp:48:51: note: candidate: template<int R, int C, class T1, class T2, class> Eigen::Matrix<typename stan::return_type<T1, T2>::type, R, C> stan::math::multiply(T1, const Eigen::Matrix<T2, R, C>&)
 inline Eigen::Matrix<return_type_t<T1, T2>, R, C> multiply(
                                                   ^
stan/lib/stan_math/stan/math/prim/fun/multiply.hpp:48:51: note:   template argument deduction/substitution failed:
/u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.hpp:392:32: note:   ‘Eigen::CwiseUnaryOp<stan::math::apply_scalar_unary<F, T, typename std::enable_if<stan::is_eigen<S, void>::value, void>::type>::apply(const T&) [with F = stan::math::square_fun; T = Eigen::Matrix<double, -1, 1>]::<lambda(stan::math::apply_scalar_unary<stan::math::square_fun, Eigen::Matrix<double, -1, 1>, void>::scalar_t)>, const Eigen::Matrix<double, -1, 1> >’ is not derived from ‘const Eigen::Matrix<T2, R, C>’
             elt_divide(multiply(pow(c, 2), square(lambda)),
                                ^
In file included from stan/lib/stan_math/stan/math/prim/fun.hpp:195:0,
                 from stan/lib/stan_math/stan/math/prim.hpp:10,
                 from stan/lib/stan_math/stan/math/rev.hpp:11,
                 from stan/lib/stan_math/stan/math.hpp:148,
                 from stan/src/stan/model/model_header.hpp:4,
                 from /u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.hpp:3:
stan/lib/stan_math/stan/math/prim/fun/multiply.hpp:73:53: note: candidate: template<int R1, int C1, int R2, int C2, class T1, class T2, class> Eigen::Matrix<typename stan::return_type<T1, T2>::type, R1, C2> stan::math::multiply(const Eigen::Matrix<T1, R1, C1>&, const Eigen::Matrix<T2, R2, C2>&)
 inline Eigen::Matrix<return_type_t<T1, T2>, R1, C2> multiply(
                                                     ^
stan/lib/stan_math/stan/math/prim/fun/multiply.hpp:73:53: note:   template argument deduction/substitution failed:
/u/77/ave/unix/proj/ovarian/bernoulli_logit_glm_rhs.hpp:392:32: note:   mismatched types ‘const Eigen::Matrix<T1, R1, C1>’ and ‘double’
             elt_divide(multiply(pow(c, 2), square(lambda)),

A smaller example with the same (similar) error

data {
  int<lower=0> d;             // number of predictors
}
parameters {
  vector <lower=0>[d] lambda; // local shrinkage parameter
}
transformed parameters {
  vector[d] lambda_tilde;   // 'truncated' local shrinkage parameter
  real c = 1.0; // slab scale
  lambda_tilde = sqrt( c^2 * square(lambda) ./ (c^2 + square(lambda)));
}
model {
}

With an error (just the beginning of a very long message)

--- Compiling, linking C++ code ---
g++ -std=c++1y -pthread -D_REENTRANT -Wno-sign-compare      -I stan/lib/stan_math/lib/tbb_2019_U8/include -O3 -I src -I stan/src -I lib/rapidjson_1.1.0/ -I stan/lib/stan_math/ -I stan/lib/stan_math/lib/eigen_3.3.3 -I stan/lib/stan_math/lib/boost_1.72.0 -I stan/lib/stan_math/lib/sundials_4.1.0/include    -DBOOST_DISABLE_ASSERTS      -c  -x c++ -o /u/77/ave/unix/proj/ovarian/test.o /u/77/ave/unix/proj/ovarian/test.hpp
/u/77/ave/unix/proj/ovarian/test.hpp: In instantiation of ‘T__ test_model_namespace::test_model::log_prob(std::vector<T_l>&, std::vector<int>&, std::ostream*) const [with bool propto__ = false; bool jacobian__ = false; T__ = double; std::ostream = std::basic_ostream<char>]’:
stan/src/stan/model/model_base_crtp.hpp:147:29:   required from ‘double stan::model::model_base_crtp<M>::log_prob(std::vector<double>&, std::vector<int>&, std::ostream*) const [with M = test_model_namespace::test_model; std::ostream = std::basic_ostream<char>]’
/u/77/ave/unix/proj/ovarian/test.hpp:467:1:   required from here
/u/77/ave/unix/proj/ovarian/test.hpp:201:30: error: no matching function for call to ‘multiply(double, Eigen::CwiseUnaryOp<stan::math::apply_scalar_unary<F, T, typename std::enable_if<stan::is_eigen<S, void>::value, void>::type>::apply(const T&) [with F = stan::math::square_fun; T = Eigen::Matrix<double, -1, 1>]::<lambda(stan::math::apply_scalar_unary<stan::math::square_fun, Eigen::Matrix<double, -1, 1>, void>::scalar_t)>, const Eigen::Matrix<double, -1, 1> >)’
           elt_divide(multiply(pow(c, 2), square(lambda)),
                              ^
In file included from stan/lib/stan_math/stan/math/prim/fun.hpp:195:0,
                 from stan/lib/stan_math/stan/math/prim.hpp:10,
                 from stan/lib/stan_math/stan/math/rev.hpp:11,
                 from stan/lib/stan_math/stan/math.hpp:148,
                 from stan/src/stan/model/model_header.hpp:4,
                 from /u/77/ave/unix/proj/ovarian/test.hpp:3:
stan/lib/stan_math/stan/math/prim/fun/multiply.hpp:29:51: note: candidate: template<int R, int C, class T1, class T2, class> Eigen::Matrix<typename stan::return_type<T1, T2>::type, R, C> stan::math::multiply(const Eigen::Matrix<T1, R, C>&, T2)
 inline Eigen::Matrix<return_type_t<T1, T2>, R, C> multiply(
                                                   ^
stan/lib/stan_math/stan/math/prim/fun/multiply.hpp:29:51: note:   template argument deduction/substitution failed:
/u/77/ave/unix/proj/ovarian/test.hpp:201:30: note:   mismatched types ‘const Eigen::Matrix<T1, R, C>’ and ‘double’
           elt_divide(multiply(pow(c, 2), square(lambda)),
                              ^
In file included from stan/lib/stan_math/stan/math/prim/fun.hpp:195:0,
                 from stan/lib/stan_math/stan/math/prim.hpp:10,
                 from stan/lib/stan_math/stan/math/rev.hpp:11,
                 from stan/lib/stan_math/stan/math.hpp:148,
                 from stan/src/stan/model/model_header.hpp:4,
                 from /u/77/ave/unix/proj/ovarian/test.hpp:3:
stan/lib/stan_math/stan/math/prim/fun/multiply.hpp:48:51: note: candidate: template<int R, int C, class T1, class T2, class> Eigen::Matrix<typename stan::return_type<T1, T2>::type, R, C> stan::math::multiply(T1, const Eigen::Matrix<T2, R, C>&)
 inline Eigen::Matrix<return_type_t<T1, T2>, R, C> multiply(
                                                   ^

Another even smaller example with slightly different error

data {
  int<lower=0> d;             // number of predictors
}
parameters {
  vector <lower=0>[d] lambda; // local shrinkage parameter
}
transformed parameters {
  vector[d] lambda_tilde;   // 'truncated' local shrinkage parameter
  lambda_tilde = sqrt( square(lambda) ./ (square(lambda)));
}
model {
}

With an error message (again just the beginning):

--- Compiling, linking C++ code ---
g++ -std=c++1y -pthread -D_REENTRANT -Wno-sign-compare      -I stan/lib/stan_math/lib/tbb_2019_U8/include -O3 -I src -I stan/src -I lib/rapidjson_1.1.0/ -I stan/lib/stan_math/ -I stan/lib/stan_math/lib/eigen_3.3.3 -I stan/lib/stan_math/lib/boost_1.72.0 -I stan/lib/stan_math/lib/sundials_4.1.0/include    -DBOOST_DISABLE_ASSERTS      -c  -x c++ -o /u/77/ave/unix/proj/ovarian/test.o /u/77/ave/unix/proj/ovarian/test.hpp
/u/77/ave/unix/proj/ovarian/test.hpp: In instantiation of ‘T__ test_model_namespace::test_model::log_prob(std::vector<T_l>&, std::vector<int>&, std::ostream*) const [with bool propto__ = false; bool jacobian__ = false; T__ = double; std::ostream = std::basic_ostream<char>]’:
stan/src/stan/model/model_base_crtp.hpp:147:29:   required from ‘double stan::model::model_base_crtp<M>::log_prob(std::vector<double>&, std::vector<int>&, std::ostream*) const [with M = test_model_namespace::test_model; std::ostream = std::basic_ostream<char>]’
/u/77/ave/unix/proj/ovarian/test.hpp:444:1:   required from here
/u/77/ave/unix/proj/ovarian/test.hpp:193:36: error: no matching function for call to ‘elt_divide(Eigen::CwiseUnaryOp<stan::math::apply_scalar_unary<F, T, typename std::enable_if<stan::is_eigen<S, void>::value, void>::type>::apply(const T&) [with F = stan::math::square_fun; T = Eigen::Matrix<double, -1, 1>]::<lambda(stan::math::apply_scalar_unary<stan::math::square_fun, Eigen::Matrix<double, -1, 1>, void>::scalar_t)>, const Eigen::Matrix<double, -1, 1> >, Eigen::CwiseUnaryOp<stan::math::apply_scalar_unary<F, T, typename std::enable_if<stan::is_eigen<S, void>::value, void>::type>::apply(const T&) [with F = stan::math::square_fun; T = Eigen::Matrix<double, -1, 1>]::<lambda(stan::math::apply_scalar_unary<stan::math::square_fun, Eigen::Matrix<double, -1, 1>, void>::scalar_t)>, const Eigen::Matrix<double, -1, 1> >)’
         stan::math::sqrt(elt_divide(square(lambda), square(lambda))),
                                    ^
In file included from stan/lib/stan_math/stan/math/prim/fun.hpp:78:0,
                 from stan/lib/stan_math/stan/math/prim.hpp:10,
                 from stan/lib/stan_math/stan/math/rev.hpp:11,
                 from stan/lib/stan_math/stan/math.hpp:148,
                 from stan/src/stan/model/model_header.hpp:4,
                 from /u/77/ave/unix/proj/ovarian/test.hpp:3:
stan/lib/stan_math/stan/math/prim/fun/elt_divide.hpp:23:44: note: candidate: template<class T1, class T2, int R, int C> Eigen::Matrix<typename stan::return_type<T1, T2>::type, R, C> stan::math::elt_divide(const Eigen::Matrix<T1, R, C>&, const Eigen::Matrix<T2, R, C>&)
 Eigen::Matrix<return_type_t<T1, T2>, R, C> elt_divide(
                                            ^
stan/lib/stan_math/stan/math/prim/fun/elt_divide.hpp:23:44: note:   template argument deduction/substitution failed:

Current Version:

• v2.22.0
• Linux t31300-lr010 4.15.0-74-generic stan-dev/cmdstan#83~16.04.1-Ubuntu SMP Wed Dec 18 04:56:23 UTC 2019 x86_64 x86_64 x86_64 GNU/Linux
• gcc (Ubuntu 5.4.0-6ubuntu1~16.04.12) 5.4.0 20160609