CUQIpy 1.0.0.post0.dev215__py3-none-any.whl → 1.0.0.post0.dev229__py3-none-any.whl

{CUQIpy-1.0.0.post0.dev215.dist-info → CUQIpy-1.0.0.post0.dev229.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: CUQIpy
-Version: 1.0.0.post0.dev215
+Version: 1.0.0.post0.dev229
 Summary: Computational Uncertainty Quantification for Inverse problems in Python
 Maintainer-email: "Nicolai A. B. Riis" <nabr@dtu.dk>, "Jakob S. Jørgensen" <jakj@dtu.dk>, "Amal M. Alghamdi" <amaal@dtu.dk>, Chao Zhang <chaz@dtu.dk>
 License: Apache License

{CUQIpy-1.0.0.post0.dev215.dist-info → CUQIpy-1.0.0.post0.dev229.dist-info}/RECORD

@@ -1,6 +1,6 @@
 cuqi/__init__.py,sha256=LsGilhl-hBLEn6Glt8S_l0OJzAA1sKit_rui8h-D-p0,488
 cuqi/_messages.py,sha256=fzEBrZT2kbmfecBBPm7spVu7yHdxGARQB4QzXhJbCJ0,415
-cuqi/_version.py,sha256=sNrHAfViy4LxInA0qKOPSSLL6RwoIRQFj5jySEVQA78,510
+cuqi/_version.py,sha256=qSCcU546LTLb2CnsgdAFPFHEfSeVUxNMie_SdR9XFeY,510
 cuqi/config.py,sha256=wcYvz19wkeKW2EKCGIKJiTpWt5kdaxyt4imyRkvtTRA,526
 cuqi/diagnostics.py,sha256=5OrbJeqpynqRXOe5MtOKKhe7EAVdOEpHIqHnlMW9G_c,3029
 cuqi/array/__init__.py,sha256=-EeiaiWGNsE3twRS4dD814BIlfxEsNkTCZUc5gjOXb0,30
@@ -32,13 +32,13 @@ cuqi/distribution/_normal.py,sha256=UeoTtGDT7YSf4ZNo2amlVF9K-YQpYbf8q76jcRJTVFw,
 cuqi/distribution/_posterior.py,sha256=zAfL0GECxekZ2lBt1W6_LN0U_xskMwK4VNce5xAF7ig,5018
 cuqi/distribution/_uniform.py,sha256=7xJmCZH_LPhuGkwEDGh-_CTtzcWKrXMOxtTJUFb7Ydo,1607
 cuqi/experimental/__init__.py,sha256=vhZvyMX6rl8Y0haqCzGLPz6PSUKyu75XMQbeDHqTTrw,83
-cuqi/experimental/mcmc/__init__.py,sha256=meBaf5xOELviF866nB6BnpfftYXhyx-w78ad0HshP1I,384
+cuqi/experimental/mcmc/__init__.py,sha256=UqoyPWNQt4ZGIgc9Buhl5gf3toAxLjXLyQ7DieDQlRw,384
 cuqi/experimental/mcmc/_cwmh.py,sha256=yRlTk5a1QYfH3JyCecfOOTeDf-4-tmJ3Tl2Bc3pyp1Y,7336
 cuqi/experimental/mcmc/_hmc.py,sha256=qqAyoAajLE_JenYMgAbD3tknuEf75AJu-ufF69GKGk4,19384
 cuqi/experimental/mcmc/_langevin_algorithm.py,sha256=MX48u3GYgCckB6Q5h5kXr_qdIaLQH2toOG5u29OY7gk,8245
 cuqi/experimental/mcmc/_laplace_approximation.py,sha256=7reeOnDY77WnOwqYls5WStftHgylwCNVodudRroApF0,5812
 cuqi/experimental/mcmc/_mh.py,sha256=aIV1Ntq0EAq3QJ1_X-DbP7eDAL-d_Or7d3RUO-R48I4,3090
-cuqi/experimental/mcmc/_pcn.py,sha256=3M8zhQGQa53Gz04AkC8wJM61_5rIjGVnhPefi8m4dbY,3531
+cuqi/experimental/mcmc/_pcn.py,sha256=m7pR266uUJQociOe_CpUUlKHkfm8g--JfRWaQA2IKis,4364
 cuqi/experimental/mcmc/_rto.py,sha256=jSPznr34XPfWM6LysWIiN4hE-vtyti3cHyvzy9ruykg,11349
 cuqi/experimental/mcmc/_sampler.py,sha256=_5Uo2F-Mta46w3lo7WBVNwvTLYhES_BzMTJrKxA00c8,14861
 cuqi/geometry/__init__.py,sha256=Tz1WGzZBY-QGH3c0GiyKm9XHN8MGGcnU6TUHLZkzB3o,842
@@ -77,8 +77,8 @@ cuqi/testproblem/_testproblem.py,sha256=x769LwwRdJdzIiZkcQUGb_5-vynNTNALXWKato7s
 cuqi/utilities/__init__.py,sha256=T4tLsC215MknBCsw_C0Qeeg_ox26aDUrCA5hbWvNQkU,387
 cuqi/utilities/_get_python_variable_name.py,sha256=QwlBVj2koJRA8s8pWd554p7-ElcI7HUwY32HknaR92E,1827
 cuqi/utilities/_utilities.py,sha256=MWAqV6L5btMpWwlUzrZYuV2VeSpfTbOaLRMRkuw2WIA,8509
-CUQIpy-1.0.0.post0.dev215.dist-info/LICENSE,sha256=kJWRPrtRoQoZGXyyvu50Uc91X6_0XRaVfT0YZssicys,10799
-CUQIpy-1.0.0.post0.dev215.dist-info/METADATA,sha256=pVkP3JyvDX9MurRCi3GgZxVp11N8hEyVzFV4Fu7Yxxg,18393
-CUQIpy-1.0.0.post0.dev215.dist-info/WHEEL,sha256=GJ7t_kWBFywbagK5eo9IoUwLW6oyOeTKmQ-9iHFVNxQ,92
-CUQIpy-1.0.0.post0.dev215.dist-info/top_level.txt,sha256=AgmgMc6TKfPPqbjV0kvAoCBN334i_Lwwojc7HE3ZwD0,5
-CUQIpy-1.0.0.post0.dev215.dist-info/RECORD,,
+CUQIpy-1.0.0.post0.dev229.dist-info/LICENSE,sha256=kJWRPrtRoQoZGXyyvu50Uc91X6_0XRaVfT0YZssicys,10799
+CUQIpy-1.0.0.post0.dev229.dist-info/METADATA,sha256=-LQQOopcYpRJTp_ZhyH2H97JxI2jLfgsIS1AzYs1FNU,18393
+CUQIpy-1.0.0.post0.dev229.dist-info/WHEEL,sha256=GJ7t_kWBFywbagK5eo9IoUwLW6oyOeTKmQ-9iHFVNxQ,92
+CUQIpy-1.0.0.post0.dev229.dist-info/top_level.txt,sha256=AgmgMc6TKfPPqbjV0kvAoCBN334i_Lwwojc7HE3ZwD0,5
+CUQIpy-1.0.0.post0.dev229.dist-info/RECORD,,

cuqi/_version.py

@@ -8,11 +8,11 @@ import json
 
 version_json = '''
 {
- "date": "2024-05-16T11:29:50+0200",
+ "date": "2024-05-21T12:48:50+0200",
  "dirty": false,
  "error": null,
- "full-revisionid": "b713d6478d33977b12342e4bcb29968a95ee5973",
- "version": "1.0.0.post0.dev215"
+ "full-revisionid": "eb9519734f2558f66772895e41f2cd0c3cd61767",
+ "version": "1.0.0.post0.dev229"
 }
 '''  # END VERSION_JSON
 

cuqi/experimental/mcmc/__init__.py

@@ -3,7 +3,7 @@
 from ._sampler import SamplerNew, ProposalBasedSamplerNew
 from ._langevin_algorithm import ULANew, MALANew
 from ._mh import MHNew
-from ._pcn import pCNNew
+from ._pcn import PCNNew
 from ._rto import LinearRTONew, RegularizedLinearRTONew
 from ._cwmh import CWMHNew
 from ._laplace_approximation import UGLANew

cuqi/experimental/mcmc/_pcn.py

@@ -3,9 +3,9 @@ import cuqi
 from cuqi.experimental.mcmc import SamplerNew
 from cuqi.array import CUQIarray
 
-class pCNNew(SamplerNew):  # Refactor to Proposal-based sampler?
+class PCNNew(SamplerNew):  # Refactor to Proposal-based sampler?
 
-    _STATE_KEYS = SamplerNew._STATE_KEYS.union({'scale', 'current_likelihood_logd'})
+    _STATE_KEYS = SamplerNew._STATE_KEYS.union({'scale', 'current_likelihood_logd', 'lambd'})
 
     def __init__(self, target, scale=1.0, **kwargs):
 
@@ -17,6 +17,11 @@ class pCNNew(SamplerNew):  # Refactor to Proposal-based sampler?
 
         self._acc = [1] # TODO. Check if we need this
 
+        # parameters used in the Robbins-Monro recursion for tuning the scale parameter
+        # see details and reference in the tune method
+        self.lambd = self.scale
+        self.star_acc = 0.44 #TODO: 0.234 # target acceptance rate
+
     def validate_target(self):
         try:
             if isinstance(self.prior, (cuqi.distribution.Gaussian, cuqi.distribution.Normal)):
@@ -29,7 +34,7 @@ class pCNNew(SamplerNew):  # Refactor to Proposal-based sampler?
     def step(self):
         # propose state
         xi = self.prior.sample(1).flatten()   # sample from the prior
-        x_star = np.sqrt(1-self.scale**2)*self.current_point + self.scale*xi   # pCN proposal
+        x_star = np.sqrt(1-self.scale**2)*self.current_point + self.scale*xi   # PCN proposal
 
         # evaluate target
         loglike_eval_star =  self._loglikelihood(x_star) 
@@ -74,10 +79,6 @@ class pCNNew(SamplerNew):  # Refactor to Proposal-based sampler?
             self._loglikelihood = lambda x : self.likelihood.logd(x)
         else:
             raise ValueError(f"To initialize an object of type {self.__class__}, 'target' need to be of type 'cuqi.distribution.Posterior'.")
-        
-        #TODO:
-        #if not isinstance(self.prior,(cuqi.distribution.Gaussian, cuqi.distribution.Normal)):
-        #    raise ValueError("The prior distribution of the target need to be Gaussian")
 
     @property
     def dim(self): # TODO. Check if we need this. Implemented in base class
@@ -88,4 +89,21 @@ class pCNNew(SamplerNew):  # Refactor to Proposal-based sampler?
         return self._dim
 
     def tune(self, skip_len, update_count):
-        pass
+        """
+        Tune the scale parameter of the PCN sampler.
+        The tuning is based on algorithm 4 in Andrieu, Christophe, and Johannes Thoms. 
+        "A tutorial on adaptive MCMC." Statistics and computing 18 (2008): 343-373.
+        Note: the tuning algorithm here is the same as the one used in MH sampler.
+        """
+
+        # average acceptance rate in the past skip_len iterations
+        hat_acc = np.mean(self._acc[-skip_len:])
+
+        # new scaling parameter zeta to be used in the Robbins-Monro recursion
+        zeta = 1/np.sqrt(update_count+1)
+
+        # Robbins-Monro recursion to ensure that the variation of lambd vanishes
+        self.lambd = np.exp(np.log(self.lambd) + zeta*(hat_acc-self.star_acc))
+
+        # update scale parameter
+        self.scale = min(self.lambd, 1)