chainset::quantiles function catches exceptions raised by stan::math::quantiles when sample contains NaN's

[mitzimorris]

Submission Checklist

• Run unit tests: ./runTests.py src/test/unit
• Run cpplint: make cpplint
• Declare copyright holder and open-source license: see below

Summary

For samples where one or more draws is NaN, function stan::math::quantiles throws a std::invalid_argument exception. Modify quantile and quantiles functions so that they catch this, as well as the std::domain_error exception (thrown if the requested probability is outside of interval [0, 1]) and return NaN.

Intended Effect

Prevent runtime exceptions being thrown by stansummary function.

How to Verify

Unit tests.

Side Effects

N/A

Documentation

N/A

Copyright and Licensing

Please list the copyright holder for the work you are submitting (this will be you or your assignee, such as a university or company):

Columbia University

By submitting this pull request, the copyright holder is agreeing to license the submitted work under the following licenses:

• Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
• Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)

[WardBrian]

It seems like the stan csv reader is using istream’s operator>> to parse numbers, which as far as I can tell is not defined for nan or infinite values. I’m guessing the reason we were witnessing something on MacOS only is that the different platforms do different things in this case.

so:

• this change is good, but the test might need to be different
• csv_reader should probably use std::stod, rather than a stringstream and >>?

[mitzimorris]

It looks like Ubuntu doesn't throw these exceptions.
Will revise PR accordingly.

[WardBrian]

It's because ubuntu is reading the nan as 0, so it's not throwing an exception:
https://godbolt.org/z/b6G336qYP

[WardBrian]

I suspect changing

stan/src/stan/io/stan_csv_reader.hpp

Line 337 in 595ae41

std::stringstream(line) >> samples(row, col);

to samples(row, col) = std::stod(line); will both make the test here work and fix a whole other set of bugs-lurking-in-the-shadows. Right now if some of the draws are nan, they're just being treated as zero (possibly in a platform-dependent way).

Not that this is performance critical, but I'd also think it would be faster (though there is a lot about the current code in that function that concerns me in that regard)

[mitzimorris]

just seeing this now. will change the CSV reader.

[mitzimorris]

to samples(row, col) = std::stod(line); will both make the test here work and fix a whole other set of bugs-lurking-in-the-shadows. Right now if some of the draws are nan, they're just being treated as zero (possibly in a platform-dependent way).

one of the eight schools test files is triggering a std::out_of_range error from std::stod. indeed, the value is very close to zero - for some reason, there's an accept_stat value: 6.77055e-309.

[WardBrian]

from std::stod. indeed, the value is very close to zero

it seems using stold is able to parse that value, and then down casting to a double should work. The csv files were originally produced from double values, so I’m not worried about the down casting being lossy

[WardBrian]

If the csv reader changes do work, I slightly preferred the rendition that caught logic_error to the current code that does a check that the quantiles function then repeats internally

[WardBrian]

Two nits but otherwise looks good!
Thanks so much for tracking this down!

[stan-buildbot]

---

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.33	0.31	1.05	4.96% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	1.03	3.22% faster
gp_regr/gen_gp_data.stan	0.03	0.02	1.06	5.85% faster
gp_regr/gp_regr.stan	0.09	0.09	1.05	4.56% faster
sir/sir.stan	70.99	70.72	1.0	0.38% faster
irt_2pl/irt_2pl.stan	4.27	4.27	1.0	0.19% faster
eight_schools/eight_schools.stan	0.06	0.06	1.02	1.67% faster
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.25	1.0	0.24% faster
pkpd/one_comp_mm_elim_abs.stan	19.24	19.13	1.01	0.55% faster
garch/garch.stan	0.42	0.4	1.05	4.49% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.66	2.6	1.02	2.35% faster
arK/arK.stan	1.77	1.69	1.05	4.42% faster
gp_pois_regr/gp_pois_regr.stan	2.76	2.66	1.03	3.31% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.75	8.41	1.04	3.82% faster
performance.compilation	182.22	178.83	1.02	1.86% faster
Mean result: 1.0290803688579198

---

Jenkins Console Log
Blue Ocean
Commit hash: 994a6ce2385990c2ed28f9822e090202d7801a42

---

Machine information

No LSB modules are available. Distributor ID: Ubuntu Description: Ubuntu 20.04.3 LTS Release: 20.04 Codename: focal

CPU:
Architecture: x86_64
CPU op-mode(s): 32-bit, 64-bit
Byte Order: Little Endian
Address sizes: 46 bits physical, 48 bits virtual
CPU(s): 80
On-line CPU(s) list: 0-79
Thread(s) per core: 2
Core(s) per socket: 20
Socket(s): 2
NUMA node(s): 2
Vendor ID: GenuineIntel
CPU family: 6
Model: 85
Model name: Intel(R) Xeon(R) Gold 6148 CPU @ 2.40GHz
Stepping: 4
CPU MHz: 2400.000
CPU max MHz: 3700.0000
CPU min MHz: 1000.0000
BogoMIPS: 4800.00
Virtualization: VT-x
L1d cache: 1.3 MiB
L1i cache: 1.3 MiB
L2 cache: 40 MiB
L3 cache: 55 MiB
NUMA node0 CPU(s): 0,2,4,6,8,10,12,14,16,18,20,22,24,26,28,30,32,34,36,38,40,42,44,46,48,50,52,54,56,58,60,62,64,66,68,70,72,74,76,78
NUMA node1 CPU(s): 1,3,5,7,9,11,13,15,17,19,21,23,25,27,29,31,33,35,37,39,41,43,45,47,49,51,53,55,57,59,61,63,65,67,69,71,73,75,77,79
Vulnerability Gather data sampling: Mitigation; Microcode
Vulnerability Itlb multihit: KVM: Mitigation: VMX disabled
Vulnerability L1tf: Mitigation; PTE Inversion; VMX conditional cache flushes, SMT vulnerable
Vulnerability Mds: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Meltdown: Mitigation; PTI
Vulnerability Mmio stale data: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Reg file data sampling: Not affected
Vulnerability Retbleed: Mitigation; IBRS
Vulnerability Spec rstack overflow: Not affected
Vulnerability Spec store bypass: Mitigation; Speculative Store Bypass disabled via prctl
Vulnerability Spectre v1: Mitigation; usercopy/swapgs barriers and __user pointer sanitization
Vulnerability Spectre v2: Mitigation; IBRS; IBPB conditional; STIBP conditional; RSB filling; PBRSB-eIBRS Not affected; BHI Not affected
Vulnerability Srbds: Not affected
Vulnerability Tsx async abort: Mitigation; Clear CPU buffers; SMT vulnerable
Flags: fpu vme de pse tsc msr pae mce cx8 apic sep mtrr pge mca cmov pat pse36 clflush dts acpi mmx fxsr sse sse2 ss ht tm pbe syscall nx pdpe1gb rdtscp lm constant_tsc art arch_perfmon pebs bts rep_good nopl xtopology nonstop_tsc cpuid aperfmperf pni pclmulqdq dtes64 monitor ds_cpl vmx smx est tm2 ssse3 sdbg fma cx16 xtpr pdcm pcid dca sse4_1 sse4_2 x2apic movbe popcnt tsc_deadline_timer aes xsave avx f16c rdrand lahf_lm abm 3dnowprefetch cpuid_fault epb cat_l3 cdp_l3 invpcid_single pti intel_ppin ssbd mba ibrs ibpb stibp tpr_shadow vnmi flexpriority ept vpid ept_ad fsgsbase tsc_adjust bmi1 hle avx2 smep bmi2 erms invpcid rtm cqm mpx rdt_a avx512f avx512dq rdseed adx smap clflushopt clwb intel_pt avx512cd avx512bw avx512vl xsaveopt xsavec xgetbv1 xsaves cqm_llc cqm_occup_llc cqm_mbm_total cqm_mbm_local dtherm ida arat pln pts hwp hwp_act_window hwp_epp hwp_pkg_req pku ospke md_clear flush_l1d arch_capabilities

G++:
g++ (Ubuntu 9.4.0-1ubuntu1~20.04) 9.4.0
Copyright (C) 2019 Free Software Foundation, Inc.
This is free software; see the source for copying conditions. There is NO
warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.

Clang:
clang version 10.0.0-4ubuntu1
Target: x86_64-pc-linux-gnu
Thread model: posix
InstalledDir: /usr/bin

[mitzimorris]

changes made - I leave it to you to merge.

[stan-buildbot]

---

Name	Old Result	New Result	Ratio	Performance change( 1 - new / old )
arma/arma.stan	0.33	0.31	1.07	6.15% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan	0.01	0.01	0.99	-0.77% slower
gp_regr/gen_gp_data.stan	0.03	0.02	1.08	7.43% faster
gp_regr/gp_regr.stan	0.1	0.09	1.07	6.78% faster
sir/sir.stan	71.68	73.15	0.98	-2.05% slower
irt_2pl/irt_2pl.stan	4.28	4.31	0.99	-0.81% slower
eight_schools/eight_schools.stan	0.06	0.06	0.99	-0.63% slower
pkpd/sim_one_comp_mm_elim_abs.stan	0.25	0.27	0.95	-4.83% slower
pkpd/one_comp_mm_elim_abs.stan	20.4	19.77	1.03	3.05% faster
garch/garch.stan	0.44	0.4	1.1	9.3% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan	2.71	2.61	1.04	3.77% faster
arK/arK.stan	1.81	1.71	1.06	5.55% faster
gp_pois_regr/gp_pois_regr.stan	2.83	2.69	1.05	5.13% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan	8.84	8.39	1.05	5.13% faster
performance.compilation	181.46	180.18	1.01	0.7% faster
Mean result: 1.031849423999815

---

Jenkins Console Log
Blue Ocean
Commit hash: 994a6ce2385990c2ed28f9822e090202d7801a42

---

Machine information

No LSB modules are available. Distributor ID: Ubuntu Description: Ubuntu 20.04.3 LTS Release: 20.04 Codename: focal

CPU:
Architecture: x86_64
CPU op-mode(s): 32-bit, 64-bit
Byte Order: Little Endian
Address sizes: 46 bits physical, 48 bits virtual
CPU(s): 80
On-line CPU(s) list: 0-79
Thread(s) per core: 2
Core(s) per socket: 20
Socket(s): 2
NUMA node(s): 2
Vendor ID: GenuineIntel
CPU family: 6
Model: 85
Model name: Intel(R) Xeon(R) Gold 6148 CPU @ 2.40GHz
Stepping: 4
CPU MHz: 2400.000
CPU max MHz: 3700.0000
CPU min MHz: 1000.0000
BogoMIPS: 4800.00
Virtualization: VT-x
L1d cache: 1.3 MiB
L1i cache: 1.3 MiB
L2 cache: 40 MiB
L3 cache: 55 MiB
NUMA node0 CPU(s): 0,2,4,6,8,10,12,14,16,18,20,22,24,26,28,30,32,34,36,38,40,42,44,46,48,50,52,54,56,58,60,62,64,66,68,70,72,74,76,78
NUMA node1 CPU(s): 1,3,5,7,9,11,13,15,17,19,21,23,25,27,29,31,33,35,37,39,41,43,45,47,49,51,53,55,57,59,61,63,65,67,69,71,73,75,77,79
Vulnerability Gather data sampling: Mitigation; Microcode
Vulnerability Itlb multihit: KVM: Mitigation: VMX disabled
Vulnerability L1tf: Mitigation; PTE Inversion; VMX conditional cache flushes, SMT vulnerable
Vulnerability Mds: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Meltdown: Mitigation; PTI
Vulnerability Mmio stale data: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Reg file data sampling: Not affected
Vulnerability Retbleed: Mitigation; IBRS
Vulnerability Spec rstack overflow: Not affected
Vulnerability Spec store bypass: Mitigation; Speculative Store Bypass disabled via prctl
Vulnerability Spectre v1: Mitigation; usercopy/swapgs barriers and __user pointer sanitization
Vulnerability Spectre v2: Mitigation; IBRS; IBPB conditional; STIBP conditional; RSB filling; PBRSB-eIBRS Not affected; BHI Not affected
Vulnerability Srbds: Not affected
Vulnerability Tsx async abort: Mitigation; Clear CPU buffers; SMT vulnerable
Flags: fpu vme de pse tsc msr pae mce cx8 apic sep mtrr pge mca cmov pat pse36 clflush dts acpi mmx fxsr sse sse2 ss ht tm pbe syscall nx pdpe1gb rdtscp lm constant_tsc art arch_perfmon pebs bts rep_good nopl xtopology nonstop_tsc cpuid aperfmperf pni pclmulqdq dtes64 monitor ds_cpl vmx smx est tm2 ssse3 sdbg fma cx16 xtpr pdcm pcid dca sse4_1 sse4_2 x2apic movbe popcnt tsc_deadline_timer aes xsave avx f16c rdrand lahf_lm abm 3dnowprefetch cpuid_fault epb cat_l3 cdp_l3 invpcid_single pti intel_ppin ssbd mba ibrs ibpb stibp tpr_shadow vnmi flexpriority ept vpid ept_ad fsgsbase tsc_adjust bmi1 hle avx2 smep bmi2 erms invpcid rtm cqm mpx rdt_a avx512f avx512dq rdseed adx smap clflushopt clwb intel_pt avx512cd avx512bw avx512vl xsaveopt xsavec xgetbv1 xsaves cqm_llc cqm_occup_llc cqm_mbm_total cqm_mbm_local dtherm ida arat pln pts hwp hwp_act_window hwp_epp hwp_pkg_req pku ospke md_clear flush_l1d arch_capabilities

G++:
g++ (Ubuntu 9.4.0-1ubuntu1~20.04) 9.4.0
Copyright (C) 2019 Free Software Foundation, Inc.
This is free software; see the source for copying conditions. There is NO
warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.

Clang:
clang version 10.0.0-4ubuntu1
Target: x86_64-pc-linux-gnu
Thread model: posix
InstalledDir: /usr/bin

[WardBrian]

Many thanks!