Simplify setup.py, make CmdStan the default backend

.github/workflows/build-and-test.yml

@@ -6,9 +6,6 @@ on:
   pull_request:
     branches: [ main ]
 
-env:
-  CMDSTAN_VERSION: "2.26.1"
-
 jobs:
   build-and-test-python:
 
@@ -38,26 +35,11 @@ jobs:
         key: ${{ runner.os }}-pip-${{ hashFiles('**/python/requirements.txt') }}-v1
         restore-keys: |
           ${{ runner.os }}-pip-
-    - name: "Restore cmdstan cache"
-      id: cache-cmdstan
-      uses: actions/cache@v2
-      with:
-        path: ${{ env.DEFAULT_HOME }}/.cmdstan
-        key: ${{ runner.os }}-cmdstan-${{ env.CMDSTAN_VERSION }}-v1
-    - name: "Download cmdstan"
-      if: steps.cache-cmdstan.outputs.cache-hit != 'true'
-      run: |
-        wget https://github.com/stan-dev/cmdstan/releases/download/v${{ env.CMDSTAN_VERSION }}/cmdstan-${{ env.CMDSTAN_VERSION }}.tar.gz -O /tmp/cmdstan.tar.gz &> /dev/null
-        mkdir $HOME/.cmdstan
-        tar -xf /tmp/cmdstan.tar.gz -C $HOME/.cmdstan &> /dev/null
     - name: Install and test
       run: |
         pip install -U -r python/requirements.txt dask[dataframe] distributed
         cd python
-        STAN_BACKEND=PYSTAN python setup.py develop test
-        python setup.py clean
-        rm -rf prophet/stan_model
-        STAN_BACKEND=CMDSTANPY python setup.py develop test
+        python setup.py develop test
 
   build-and-test-r:
 

.github/workflows/wheel.yml

@@ -5,9 +5,9 @@ on:
     types: [ created ]
   workflow_dispatch: {}
 
+
 env:
-  STAN_BACKEND: "PYSTAN,CMDSTANPY"
-  CMDSTAN_VERSION: "2.26.1"
+  STAN_BACKEND: "CMDSTANPY"
 
 jobs:
   make-wheel-windows:
@@ -55,35 +55,19 @@ jobs:
           python -m pip install --upgrade pip
           python -m pip install cibuildwheel build delvewheel
 
-      - name: "Restore cmdstan cache"
-        id: cache-cmdstan
-        uses: actions/cache@v2
-        with:
-          path: ${{ env.DEFAULT_HOME }}/.cmdstan
-          key: ${{ runner.os }}-cmdstan-${{ env.CMDSTAN_VERSION }}-v1
-
       - name: "Restore RTools40"
         id: cache-rtools
         uses: actions/cache@v2
         with:
           path: C:/rtools40
           key: ${{ runner.os }}-${{ env.OS_VERSION }}-rtools-v1
 
-      - name: "Download cmdstan"
-        if: steps.cache-cmdstan.outputs.cache-hit != 'true'
-        run: |
-          $ProgressPreference = "SilentlyContinue"
-          Invoke-WebRequest https://github.com/stan-dev/cmdstan/releases/download/v${{ env.CMDSTAN_VERSION }}/cmdstan-${{ env.CMDSTAN_VERSION }}.tar.gz -OutFile "D:/a/_temp/cmdstan.tar.gz"
-          New-Item -Path "$HOME" -Name ".cmdstan" -ItemType "directory"
-          tar -xf "D:/a/_temp/cmdstan.tar.gz" -C "$HOME/.cmdstan"
-
       - name: "Build wheel"
         run: |
           cd python && python -m cibuildwheel --output-dir wheelhouse
         env:
           CIBW_ENVIRONMENT: >
             STAN_BACKEND="${{ env.STAN_BACKEND }}"
-            CMDSTAN_VERSION=${{ env.CMDSTAN_VERSION }}
             PIP_CACHE_DIR="${{ env.PIP_DEFAULT_CACHE }}"
           CIBW_BUILD: cp36-* cp37-* cp38-*
           CIBW_ARCHS: native
@@ -112,17 +96,16 @@ jobs:
       - name: "Get OS version (Linux)"
         if: startsWith(runner.os, 'Linux')
         run: |
-          echo "OS_VERSION=`lsb_release -sr`" >> $GITHUB_ENV
           echo "PIP_DEFAULT_CACHE=$HOME/.cache/pip" >> $GITHUB_ENV
           echo "DEFAULT_HOME=$HOME" >> $GITHUB_ENV
 
       - name: "Get OS version (macOS)"
         if: startsWith(runner.os, 'macOS')
         run: |
-          echo "OS_VERSION=`sw_vers -productVersion`" >> $GITHUB_ENV
           echo "PIP_DEFAULT_CACHE=$HOME/Library/Caches/pip" >> $GITHUB_ENV
           echo "DEFAULT_HOME=$HOME" >> $GITHUB_ENV
 
+
       - name: "Checkout repo"
         uses: actions/checkout@v2
 
@@ -146,31 +129,15 @@ jobs:
           python -m pip install --upgrade pip
           python -m pip install cibuildwheel build
 
-      - name: "Restore cmdstan cache"
-        id: cache-cmdstan
-        uses: actions/cache@v2
-        with:
-          path: ${{ env.DEFAULT_HOME }}/.cmdstan
-          key: ${{ runner.os }}-cmdstan-${{ env.CMDSTAN_VERSION }}-v1
-
-      - name: "Download cmdstan"
-        if: steps.cache-cmdstan.outputs.cache-hit != 'true'
-        run: |
-          wget https://github.com/stan-dev/cmdstan/releases/download/v${{ env.CMDSTAN_VERSION }}/cmdstan-${{ env.CMDSTAN_VERSION }}.tar.gz -O /tmp/cmdstan.tar.gz &> /dev/null
-          mkdir $HOME/.cmdstan
-          tar -xf /tmp/cmdstan.tar.gz -C $HOME/.cmdstan &> /dev/null
-
       - name: "Build wheel"
         run: |
           cd python && python -m cibuildwheel --output-dir wheelhouse
         env:
           CIBW_ENVIRONMENT: >
             STAN_BACKEND="${{ env.STAN_BACKEND }}"
-            CMDSTAN_VERSION=${{ env.CMDSTAN_VERSION }}
           # Linux builds run in a Docker container, need to point the cache to the host machine.
           CIBW_ENVIRONMENT_LINUX: >
             STAN_BACKEND="${{ env.STAN_BACKEND }}"
-            CMDSTAN_VERSION=${{ env.CMDSTAN_VERSION }}
             HOME="/host/${{ env.DEFAULT_HOME }}"
             PIP_CACHE_DIR="/host/${{ env.PIP_DEFAULT_CACHE }}"
           CIBW_MANYLINUX_X86_64_IMAGE: manylinux2014

README.md

@@ -56,20 +56,17 @@ On Windows, R requires a compiler so you'll need to [follow the instructions](ht
 
 If you have custom Stan compiler settings, install from source rather than the CRAN binary.
 
-## Installation in Python
+## Installation in Python - PyPI release
 
 Prophet is on PyPI, so you can use `pip` to install it. From v0.6 onwards, Python 2 is no longer supported. As of v1.0, the package name on PyPI is "prophet"; prior to v1.0 it was "fbprophet".
 
 ```bash
 # Install pystan with pip before using pip to install prophet
 # pystan>=3.0 is currently not supported
 pip install pystan==2.19.1.1
-
 pip install prophet
 ```
 
-The default dependency that Prophet has is `pystan`. PyStan has its own [installation instructions](http://pystan.readthedocs.io/en/latest/installation_beginner.html). Install pystan with pip before using pip to install prophet.
-
 #### Experimental backend - cmdstanpy
 
 You can also choose a (more experimental) alternative stan backend called `cmdstanpy`. It requires the [CmdStan](https://mc-stan.org/users/interfaces/cmdstan) command line interface and you will have to specify the environment variable `STAN_BACKEND` pointing to it, for example:
@@ -90,20 +87,41 @@ $ CMDSTAN=/tmp/cmdstan-2.22.1 STAN_BACKEND=PYSTAN,CMDSTANPY pip install prophet
 
 After installation, you can [get started!](https://facebook.github.io/prophet/docs/quick_start.html#python-api)
 
-If you upgrade the version of PyStan installed on your system, you may need to reinstall prophet ([see here](https://github.com/facebook/prophet/issues/324)).
+If you upgraded the version of PyStan installed on your system, you may need to reinstall prophet ([see here](https://github.com/facebook/prophet/issues/324)).
 
 ### Anaconda
 
-Use `conda install gcc` to set up gcc. The easiest way to install Prophet is through conda-forge: `conda install -c conda-forge prophet`.
+The easiest way to install Prophet is through conda-forge: `conda install -c conda-forge prophet`.
 
 ### Windows
 
-On Windows, PyStan requires a compiler so you'll need to [follow the instructions](https://pystan2.readthedocs.io/en/latest/windows.html). The easiest way to install Prophet in Windows is in Anaconda.
+The easiest way to install Prophet in Windows is in Anaconda.
 
 ### Linux
 
 Make sure compilers (gcc, g++, build-essential) and Python development tools (python-dev, python3-dev) are installed. In Red Hat systems, install the packages gcc64 and gcc64-c++. If you are using a VM, be aware that you will need at least 4GB of memory to install prophet, and at least 2GB of memory to use prophet.
 
+## Installation in Python - Development version
+
+Since Pystan2 is no longer being maintained, the python package will move to depend solely on `cmdstanpy` (benefits described [here](https://github.com/facebook/prophet/issues/2041)). This has been updated in the development version of the package (1.1), but this version hasn't yet been released to PyPI. If you would like to use `cmdstanpy` only for your workflow, you can clone this repo and build from source manually:
+
+```bash
+git clone https://github.com/facebook/prophet.git
+cd prophet/python
+python -m install -r requirements.txt
+python setup.py develop
+```
+
+By default, Prophet will use a fixed version of `cmdstan` (downloading and installing it if necessary) to compile the model executables. If this is undesired and you would like to use your own existing `cmdstan` installation, you can set the environment variable `PROPHET_REPACKAGE_CMDSTAN` to `False`:
+
+```bash
+export PROPHET_REPACKAGE_CMDSTAN=False; python setup.py develop
+```
+
+### Windows
+
+Using `cmdstanpy` with Windows requires a Unix-compatible C compiler such as mingw-gcc. If cmdstanpy is installed first, one can be installed via the `cmdstanpy.install_cxx_toolchain` command.
+
 ## Changelog
 
 ### Version 1.0 (2021.03.28)

python/MANIFEST.in

@@ -1,5 +1,4 @@
-include stan/unix/*.stan
-include stan/win/*.stan
+include stan/*.stan
 include LICENSE
 include requirements.txt
 

python/README.md

@@ -18,18 +18,17 @@ Full documentation and examples available at the homepage: https://facebook.gith
 - Rob Hyndman's [forecast package](http://robjhyndman.com/software/forecast/)
 - [Statsmodels](http://statsmodels.sourceforge.net/)
 
-## Installation
+## Installation - PyPI release
 
-```shell
-pip install prophet
-```
-Note:  Installation requires PyStan, which has its [own installation instructions](http://pystan.readthedocs.io/en/latest/installation_beginner.html).
-On Windows, PyStan requires a compiler so you'll need to [follow the instructions](http://pystan.readthedocs.io/en/latest/windows.html).
- The key step is installing a recent [C++ compiler](https://visualstudio.microsoft.com/visual-cpp-build-tools/)
+See [Installation in Python - PyPI release](https://github.com/facebook/prophet#installation-in-python---pypi-release)
+
+## Installation - Development version
 
-## Installation using Docker and docker-compose (via Makefile)
+See [Installation in Python - Development version](https://github.com/facebook/prophet#installation-in-python---development-version)
 
-Simply type `make build` and if everything is fine you should be able to `make shell` or alternative jump directly to `make py-shell`. 
+### Installation using Docker and docker-compose (via Makefile)
+
+Simply type `make build` and if everything is fine you should be able to `make shell` or alternative jump directly to `make py-shell`.
 
 To run the tests, inside the container `cd python/prophet` and then `python -m unittest`
 
@@ -41,4 +40,4 @@ To run the tests, inside the container `cd python/prophet` and then `python -m u
   >>> m.fit(df)  # df is a pandas.DataFrame with 'y' and 'ds' columns
   >>> future = m.make_future_dataframe(periods=365)
   >>> m.predict(future)
-  ```
+```

python/prophet/models.py

@@ -6,6 +6,7 @@
 
 from __future__ import absolute_import, division, print_function
 from abc import abstractmethod, ABC
+from tempfile import mkdtemp
 from typing import Tuple
 from collections import OrderedDict
 from enum import Enum
@@ -61,30 +62,21 @@ def sampling(self, stan_init, stan_data, samples, **kwargs) -> dict:
 class CmdStanPyBackend(IStanBackend):
     CMDSTAN_VERSION = "2.26.1"
     def __init__(self):
-        super().__init__()
         import cmdstanpy
-        cmdstanpy.set_cmdstan_path(
-            pkg_resources.resource_filename("prophet", f"stan_model/cmdstan-{self.CMDSTAN_VERSION}")
+        # this must be set before super.__init__() for load_model to work on Windows
+        local_cmdstan = pkg_resources.resource_filename(
+            "prophet", f"stan_model/cmdstan-{self.CMDSTAN_VERSION}"
         )
+        if Path(local_cmdstan).exists():
+            cmdstanpy.set_cmdstan_path(local_cmdstan)
+        super().__init__()
 
     @staticmethod
     def get_type():
         return StanBackendEnum.CMDSTANPY.name
 
-    def _add_tbb_to_path(self):
-        """Add the TBB library to $PATH on Windows only. Required for loading model binaries."""
-        if PLATFORM == "win":
-            tbb_path = pkg_resources.resource_filename(
-                "prophet",
-                f"stan_model/cmdstan-{self.CMDSTAN_VERSION}/stan/lib/stan_math/lib/tbb"
-            )
-            os.environ["PATH"] = ";".join(
-                list(OrderedDict.fromkeys([tbb_path] + os.environ.get("PATH", "").split(";")))
-            )
-
     def load_model(self):
         import cmdstanpy
-        self._add_tbb_to_path()
         model_file = pkg_resources.resource_filename(
             'prophet',
             'stan_model/prophet_model.bin',
@@ -102,6 +94,7 @@ def fit(self, stan_init, stan_data, **kwargs):
             inits=stan_init,
             algorithm='Newton' if stan_data['T'] < 100 else 'LBFGS',
             iter=int(1e4),
+            output_dir = mkdtemp(),
         )
         args.update(kwargs)
 

python/prophet/tests/test_diagnostics.py

@@ -168,7 +168,7 @@ def test_cross_validation_custom_cutoffs(self):
             period='10 days',
             cutoffs=[pd.Timestamp('2012-07-31'), pd.Timestamp('2012-08-31')])
         self.assertEqual(len(df_cv1['cutoff'].unique()), 2)
-      
+
     def test_cross_validation_uncertainty_disabled(self):
         df = self.__df.copy()
         for uncertainty in [0, False]:

python/pyproject.toml

@@ -2,7 +2,6 @@
 requires = [
     "setuptools>=42",
     "wheel",
-    "pystan~=2.19.1.1",
-    "cmdstanpy==0.9.77",
+    "cmdstanpy>=1.0.0",
 ]
 build-backend = "setuptools.build_meta"

python/requirements.txt

@@ -1,5 +1,5 @@
 Cython>=0.22
-cmdstanpy==0.9.77
+cmdstanpy>=1.0.0
 pystan~=2.19.1.1
 numpy>=1.15.4
 pandas>=1.0.4