Within-chain parallelization-Giving Stan Jet Fuel for population modeling in pharmacometrics.

Abstract

Stan is a powerful probabilistic programming language designed mainly for Bayesian data analysis. Torsten is a collection of Stan functions that handles the events (e.g., dosing events) and solves the ODE systems that are frequently present in pharmacometric models. To perform a Bayesian data analysis, most models in pharmacometrics require Markov Chain Monte Carlo (MCMC) methods to sample from the posterior distribution. However, MCMC is computationally expensive and can be time-consuming, enough so that people will often forgo Bayesian methods for a more traditional approach. This paper shows how to speed up the sampling process in Stan by within-chain parallelization through both multi-threading using Stan's reduce_sum() function and multi-processing using Torsten's group ODE solver. Both methods show substantial reductions in the time necessary to sufficiently sample from the posterior distribution compared with a basic approach with no within-chain parallelization.