Kuramoto in Stan (PyStan)

tl;dr: Project on github: https://github.com/laszukdawid/pystan-kuramoto


Stan is a programming language focused on probabilistic computations. Although it’s a rather recent language it’s been nicely received in data science/Bayesian community for its focus on designing model, rather than programming and getting stuck with computational details. Depending what is your background you might have heard about it either from Facebook and its Prophet project or as a native implementation for Hamiltonian Monte Carlo (HMC) and its optimised variation – No-U-Turn Sampler for HMC (NUTS).

For ease of including models in other programmes there are some interfaces/wrappers available, including RStan and PyStan.

Stan is not the easiest language to go through. Currently there are about 600 pages of documentation and then separate “documentations” for wrappers, which for PyStan isn’t very helpful. Obviously there’s no need for reading all of it, but it took me a while to actually understand what goes where an why. The reward, however, is very satisfying.

Since I’ve written a bit about Kuramoto models on this blog, it’s consistent if I share its implementation in Stan as well. Pystan-kuramoto project uses PyStan, but the actual Stan code is platform independent.

Currently there are two implementations (couldn’t come up with better names):

  • All-to-all, where Kuramoto model fit is performed to phase vector \vec{\Phi} with distinct oscillators, i.e. \vec{\Phi}_{N}(t) = \{\phi_1(t), \phi_2(t), \dots, \phi_N(t)\}.
  • All-to-one, where the model fits superposition (sum) of oscillators to phase time series \Phi_{N}(t) = \sum_{n=1}^{N} \phi_n(t).

In all honesty, this seems to be rather efficient. Optimisation is performed using penalized maximum likelihood estimation with optimization (L-BFGS). Before using it I wasn’t very knowledgeable in the algorithm, but now I’m simply amazed with its speed and accuracy. Thumbs up.

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