WinBUGS and JAGS differences

One of my graduate students and I have been working on input modeling in a setting where the amount of historical data can range from a lot to almost no (i.e. 0, 1, 2) occurrences. So both of us have been learning Bayesian methods and developing means to work with our setting. Part of this involves working with the standard tools and building blocks for Bayesian methods, in particular Monte Carlo Markov Chains (MCMC). To implement these methods, you can program your own, or use some standard modeling frameworks. Some of these frameworks are essentially programming libraries. But the primary ones are Bayesian inference Using Gibbs Sampling (BUGS) derivatives. There are two families: WinBUGS/OpenBUGS and JAGS.

WinBUGS is the direct successor to BUGS, with OpenBUGS being the open source next generation. BUGS is both a software package as well as a model specification language for MCMC models. One issue with WinBUGS/OpenBUGS is that it is written in Component Pascal. WinBUGS depended on the BlackBox component builder, which is only available in MS Windows (as does OpenBUGS, but OpenBUGS is essentially the open source next generation of WinBUGS once it is done). JAGS is an opensource implementation of the BUGS model specification and command language and is written in C++ on top of some open source libraries. JAGS exists specifically because of the inability to port WinBUGS. A review of the literature shows that WinBUGS/JAGS/various other libraries, all have areas of strength and weakness. Research groups working extensively with Bayesian methods use all of the them at various times.

But, this is our first project. So one thing we did was to examine three frameworks while we were learning Bayesian methods. I primarily used JAGS, one graduate student worked with WinBUGS, a third graduate student (the strongest programmer) used MCMCpack (an R package).

Our intent was to use either WinBUGS or JAGS when we actually implemented our methods on real data, so the question was which to use. Some obvious differences that came up.

1. When running using R, the RWinBUGS interface opens the WinBUGS application to run BUGS model. We anticipate having to run this on ~50 separate data sets a day as part of our methodologies. This time of interface is unstable (both theoretically, and practically as my student's computer ends up hanging a lot)
2. WinBUGS is a lot more particular about the BUGS model specification. Or, since the WinBUGS people are the ones who developed the BUGS model specification, it is probably better to say that JAGS is much more forgiving. Some gotchas that came up included:

• When specifying distributions, parameters in WinBUGS could not be expressions. Only single variables. I.e. something like (num1*num2) is not allowed. So we have to perform all computations, then specify the distribution separately. JAGS allows passing an expression as a parameter.
  
• WinBUGS does not have an exponent operator (either '^' or '**') JAGS does. Since one parameter that is important and common is 1/variance, this is very useful when the data is expressed in terms of standard deviation. We have to use expressions like (num1*num1) all over the place.
• JAGS from R is seamless (R2jags, rjags). You call JAGS, and it returns without opening any IDEs. You can see the JAGS output in the terminal, but JAGS runs in command line, then is done. No IDE left to close. (R2jags was designed to work the same way as RWinBUGS, but I think it is much more elegant)
• The JAGS documentation includes some more differences, but we have not hit those yet.

So, for this project, given that we have a certain amount of risk based on the fact that we are figuring out Bayesian methods and MCMC along the way, we're going to go with JAGS as our engine. Someday we'll get better at using WinBUGS/OpenBUGS and MCMCpack, but not today.