CUQIpy 1.3.0__py3-none-any.whl → 1.4.0.post0.dev61__py3-none-any.whl

cuqi/experimental/mcmc/_gibbs.py

@@ -1,318 +0,0 @@
-from cuqi.distribution import JointDistribution
-from cuqi.experimental.mcmc import Sampler
-from cuqi.samples import Samples, JointSamples
-from cuqi.experimental.mcmc import NUTS
-from typing import Dict
-import numpy as np
-import warnings
-
-try:
-    from tqdm import tqdm
-except ImportError:
-    def tqdm(iterable, **kwargs):
-        warnings.warn("Module mcmc: tqdm not found. Install tqdm to get sampling progress.")
-        return iterable
-
-# Not subclassed from Sampler as Gibbs handles multiple samplers and samples multiple parameters
-# Similar approach as for JointDistribution
-class HybridGibbs: 
-    """
-    Hybrid Gibbs sampler for sampling a joint distribution.
-
-    Gibbs sampling samples the variables of the distribution sequentially,
-    one variable at a time. When a variable represents a random vector, the
-    whole vector is sampled simultaneously.
-    
-    The sampling of each variable is done by sampling from the conditional
-    distribution of that variable given the values of the other variables.
-    This is often a very efficient way of sampling from a joint distribution
-    if the conditional distributions are easy to sample from. 
-
-    Hybrid Gibbs sampler is a generalization of the Gibbs sampler where the
-    conditional distributions are sampled using different MCMC samplers.
-    
-    When the conditionals are sampled exactly, the samples from the Gibbs 
-    sampler converge to the joint distribution. See e.g.
-    Gelman et al. "Bayesian Data Analysis" (2014), Third Edition
-    for more details.
-
-    In each Gibbs step, the corresponding sampler has the initial_point 
-    and initial_scale (if applicable) set to the value of the previous step
-    and the sampler is reinitialized. This means that the sampling is not 
-    fully stateful at this point. This means samplers like NUTS will lose
-    their internal state between Gibbs steps.
-
-    Parameters
-    ----------
-    target : cuqi.distribution.JointDistribution
-        Target distribution to sample from.
-    
-    sampling_strategy : dict
-        Dictionary of sampling strategies for each variable.
-        Keys are variable names.
-        Values are sampler objects.
-
-    num_sampling_steps : dict, *optional*
-        Dictionary of number of sampling steps for each variable.
-        The sampling steps are defined as the number of times the sampler
-        will call its step method in each Gibbs step.
-        Default is 1 for all variables.
-
-    Example
-    -------
-    .. code-block:: python
-
-        import cuqi
-        import numpy as np
-
-        # Model and data
-        A, y_obs, probinfo = cuqi.testproblem.Deconvolution1D(phantom='sinc').get_components()
-        n = A.domain_dim
-
-        # Define distributions
-        d = cuqi.distribution.Gamma(1, 1e-4)
-        l = cuqi.distribution.Gamma(1, 1e-4)
-        x = cuqi.distribution.GMRF(np.zeros(n), lambda d: d)
-        y = cuqi.distribution.Gaussian(A, lambda l: 1/l)
-
-        # Combine into a joint distribution and create posterior
-        joint = cuqi.distribution.JointDistribution(d, l, x, y)
-        posterior = joint(y=y_obs)
-
-        # Define sampling strategy
-        sampling_strategy = {
-            'x': cuqi.experimental.mcmc.LinearRTO(maxit=15),
-            'd': cuqi.experimental.mcmc.Conjugate(),
-            'l': cuqi.experimental.mcmc.Conjugate(),
-        }
-
-        # Define Gibbs sampler
-        sampler = cuqi.experimental.mcmc.HybridGibbs(posterior, sampling_strategy)
-
-        # Run sampler
-        sampler.warmup(200)
-        sampler.sample(1000)
-
-        # Get samples removing burn-in
-        samples = sampler.get_samples().burnthin(200)
-
-        # Plot results
-        samples['x'].plot_ci(exact=probinfo.exactSolution)
-        samples['d'].plot_trace(figsize=(8,2))
-        samples['l'].plot_trace(figsize=(8,2))
-            
-    """
-
-    def __init__(self, target: JointDistribution, sampling_strategy: Dict[str, Sampler], num_sampling_steps: Dict[str, int] = None):
-
-        # Store target and allow conditioning to reduce to a single density
-        self.target = target() # Create a copy of target distribution (to avoid modifying the original)
-
-        # Store sampler instances (again as a copy to avoid modifying the original)
-        self.samplers = sampling_strategy.copy()
-
-        # Store number of sampling steps for each parameter
-        self.num_sampling_steps = num_sampling_steps
-
-        # Store parameter names
-        self.par_names = self.target.get_parameter_names()
-
-        # Initialize sampler (after target is set)
-        self._initialize()
-
-    def _initialize(self):
-        """ Initialize sampler """
-
-        # Initial points
-        self.current_samples = self._get_initial_points()
-
-        # Initialize sampling steps
-        self._initialize_num_sampling_steps()
-
-        # Allocate samples
-        self._allocate_samples()
-
-        # Set targets
-        self._set_targets()
-
-        # Initialize the samplers
-        self._initialize_samplers()
-
-        # Validate all targets for samplers.
-        self.validate_targets()
-
-    # ------------ Public methods ------------
-    def validate_targets(self):
-        """ Validate each of the conditional targets used in the Gibbs steps """
-        if not isinstance(self.target, JointDistribution):
-            raise ValueError('Target distribution must be a JointDistribution.')
-        for sampler in self.samplers.values():
-            sampler.validate_target()
-
-    def sample(self, Ns) -> 'HybridGibbs':
-        """ Sample from the joint distribution using Gibbs sampling
-
-        Parameters
-        ----------
-        Ns : int
-            The number of samples to draw.
-
-        """
-
-        for _ in tqdm(range(Ns), "Sample: "):
-
-            self.step()
-
-            self._store_samples()
-
-        return self
-
-    def warmup(self, Nb, tune_freq=0.1) -> 'HybridGibbs':
-        """ Warmup (tune) the samplers in the Gibbs sampling scheme
-
-        Parameters
-        ----------
-        Nb : int
-            The number of samples to draw during warmup.
-
-        tune_freq : float, optional
-            Frequency of tuning the samplers. Tuning is performed every tune_freq*Nb steps.
-
-        """
-
-        tune_interval = max(int(tune_freq * Nb), 1)
-
-        for idx in tqdm(range(Nb), "Warmup: "):
-
-            self.step()
-
-            # Tune the sampler at tuning intervals (matching behavior of Sampler class)
-            if (idx + 1) % tune_interval == 0:
-                self.tune(tune_interval, idx // tune_interval) 
-                
-            self._store_samples()
-
-        return self
-
-    def get_samples(self) -> Dict[str, Samples]:
-        samples_object = JointSamples()
-        for par_name in self.par_names:
-            samples_array = np.array(self.samples[par_name]).T
-            samples_object[par_name] = Samples(samples_array, self.target.get_density(par_name).geometry)
-        return samples_object
-    
-    def step(self):
-        """ Sequentially go through all parameters and sample them conditionally on each other """
-
-        # Sample from each conditional distribution
-        for par_name in self.par_names:
-
-            # Set target for current parameter
-            self._set_target(par_name)
-
-            # Get sampler
-            sampler = self.samplers[par_name]
-
-            # Instead of simply changing the target of the sampler, we reinitialize it.
-            # This is to ensure that all internal variables are set to match the new target.
-            # To return the sampler to the old state and history, we first extract the state and history
-            # before reinitializing the sampler and then set the state and history back to the sampler
-
-            # Extract state and history from sampler
-            if isinstance(sampler, NUTS): # Special case for NUTS as it is not playing nice with get_state and get_history
-                sampler.initial_point = sampler.current_point
-            else:
-                sampler_state = sampler.get_state()
-                sampler_history = sampler.get_history()
-
-            # Reinitialize sampler
-            sampler.reinitialize()
-
-            # Set state and history back to sampler
-            if not isinstance(sampler, NUTS): # Again, special case for NUTS.
-                sampler.set_state(sampler_state)
-                sampler.set_history(sampler_history)
-
-            # Allow for multiple sampling steps in each Gibbs step
-            for _ in range(self.num_sampling_steps[par_name]):
-                # Sampling step
-                acc = sampler.step()
-
-                # Store acceptance rate in sampler (matching behavior of Sampler class Sample method)
-                sampler._acc.append(acc)
-
-            # Extract samples (Ensure even 1-dimensional samples are 1D arrays)
-            if isinstance(sampler.current_point, np.ndarray):
-                self.current_samples[par_name] = sampler.current_point.reshape(-1)
-            else:
-                self.current_samples[par_name] = sampler.current_point
-
-    def tune(self, skip_len, update_count):
-        """ Run a single tuning step on each of the samplers in the Gibbs sampling scheme
-
-        Parameters
-        ----------
-        skip_len : int
-            Defines the number of steps in between tuning (i.e. the tuning interval).
-
-        update_count : int
-            The number of times tuning has been performed. Can be used for internal bookkeeping.
-
-        """
-        for par_name in self.par_names:
-            self.samplers[par_name].tune(skip_len=skip_len, update_count=update_count)
-
-    # ------------ Private methods ------------
-    def _initialize_samplers(self):
-        """ Initialize samplers """
-        for sampler in self.samplers.values():
-            if isinstance(sampler, NUTS):
-                print(f'Warning: NUTS sampler is not fully stateful in HybridGibbs. Sampler will be reinitialized in each Gibbs step.')
-            sampler.initialize()
-
-    def _initialize_num_sampling_steps(self):
-        """ Initialize the number of sampling steps for each sampler. Defaults to 1 if not set by user """
-
-        if self.num_sampling_steps is None:
-            self.num_sampling_steps = {par_name: 1 for par_name in self.par_names}
-
-        for par_name in self.par_names:
-            if par_name not in self.num_sampling_steps:
-                self.num_sampling_steps[par_name] = 1
-
-
-    def _set_targets(self):
-        """ Set targets for all samplers using the current samples """
-        par_names = self.par_names
-        for par_name in par_names:
-            self._set_target(par_name)
-
-    def _set_target(self, par_name):
-        """ Set target conditional distribution for a single parameter using the current samples """
-        # Get all other conditional parameters other than the current parameter and update the target
-        # This defines - from a joint p(x,y,z) - the conditional distribution p(x|y,z) or p(y|x,z) or p(z|x,y)
-        conditional_params = {par_name_: self.current_samples[par_name_] for par_name_ in self.par_names if par_name_ != par_name}
-        self.samplers[par_name].target = self.target(**conditional_params)
-
-    def _allocate_samples(self):
-        """ Allocate memory for samples """
-        samples = {}
-        for par_name in self.par_names:
-            samples[par_name] = []
-        self.samples = samples
-
-    def _get_initial_points(self):
-        """ Get initial points for each parameter """
-        initial_points = {}
-        for par_name in self.par_names:
-            sampler = self.samplers[par_name]
-            if sampler.initial_point is None:
-                sampler.initial_point = sampler._get_default_initial_point(self.target.get_density(par_name).dim)
-            initial_points[par_name] = sampler.initial_point
-            
-        return initial_points
-
-    def _store_samples(self):
-        """ Store current samples at index i of samples dict """
-        for par_name in self.par_names:
-            self.samples[par_name].append(self.current_samples[par_name])