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

cuqi/experimental/mcmc/_hmc.py

@@ -1,464 +0,0 @@
-import numpy as np
-import numpy as np
-from cuqi.experimental.mcmc import Sampler
-from cuqi.array import CUQIarray
-from numbers import Number
-
-class NUTS(Sampler):
-    """No-U-Turn Sampler (Hoffman and Gelman, 2014).
-
-    Samples a distribution given its logpdf and gradient using a Hamiltonian
-    Monte Carlo (HMC) algorithm with automatic parameter tuning.
-
-    For more details see: See Hoffman, M. D., & Gelman, A. (2014). The no-U-turn
-    sampler: Adaptively setting path lengths in Hamiltonian Monte Carlo. Journal
-    of Machine Learning Research, 15, 1593-1623.
-
-    Parameters
-    ----------
-    target : `cuqi.distribution.Distribution`
-        The target distribution to sample. Must have logpdf and gradient method.
-        Custom logpdfs and gradients are supported by using a
-        :class:`cuqi.distribution.UserDefinedDistribution`.
-    
-    initial_point : ndarray
-        Initial parameters. *Optional*. If not provided, the initial point is 
-        an array of ones.
-
-    max_depth : int
-        Maximum depth of the tree >=0 and the default is 15.
-
-    step_size : None or float
-        If step_size is provided (as positive float), it will be used as initial
-        step size. If None, the step size will be estimated by the sampler.
-
-    opt_acc_rate : float
-        The optimal acceptance rate to reach if using adaptive step size.
-        Suggested values are 0.6 (default) or 0.8 (as in stan). In principle,
-        opt_acc_rate should be in (0, 1), however, choosing a value that is very
-        close to 1 or 0 might lead to poor performance of the sampler.
-
-    callback : callable, *Optional*
-        If set this function will be called after every sample.
-        The signature of the callback function is
-        `callback(sample, sample_index)`,
-        where `sample` is the current sample and `sample_index` is the index of
-        the sample.
-        An example is shown in demos/demo31_callback.py.
-
-    Example
-    -------
-    .. code-block:: python
-
-        # Import cuqi
-        import cuqi
-
-        # Define a target distribution
-        tp = cuqi.testproblem.WangCubic()
-        target = tp.posterior
-
-        # Set up sampler
-        sampler = cuqi.experimental.mcmc.NUTS(target)
-
-        # Sample
-        sampler.warmup(5000)
-        sampler.sample(10000)
-
-        # Get samples
-        samples = sampler.get_samples()
-
-        # Plot samples
-        samples.plot_pair()
-
-    After running the NUTS sampler, run diagnostics can be accessed via the 
-    following attributes:
-
-    .. code-block:: python
-
-        # Number of tree nodes created each NUTS iteration
-        sampler.num_tree_node_list
-
-        # Step size used in each NUTS iteration
-        sampler.epsilon_list
-
-        # Suggested step size during adaptation (the value of this step size is
-        # only used after adaptation).
-        sampler.epsilon_bar_list
-
-    """
-
-    _STATE_KEYS = Sampler._STATE_KEYS.union({'_epsilon', '_epsilon_bar',
-                                                '_H_bar',
-                                                'current_target_logd',
-                                                'current_target_grad',
-                                                'max_depth'})
-
-    _HISTORY_KEYS = Sampler._HISTORY_KEYS.union({'num_tree_node_list',
-                                                    'epsilon_list',
-                                                    'epsilon_bar_list'})
-
-    def __init__(self, target=None, initial_point=None, max_depth=None,
-                 step_size=None, opt_acc_rate=0.6, **kwargs):
-        super().__init__(target, initial_point=initial_point, **kwargs)
-
-        # Assign parameters as attributes
-        self.max_depth = max_depth
-        self.step_size = step_size
-        self.opt_acc_rate = opt_acc_rate
-
-
-    def _initialize(self):
-
-        self._current_alpha_ratio = np.nan # Current alpha ratio will be set to some
-                                           # value (other than np.nan) before 
-                                           # being used
-
-        self.current_target_logd, self.current_target_grad = self._nuts_target(self.current_point)
-
-        # Parameters dual averaging
-        # Initialize epsilon and epsilon_bar
-        # epsilon is the step size used in the current iteration
-        # after warm up and one sampling step, epsilon is updated
-        # to epsilon_bar for the remaining sampling steps.
-        if self.step_size is None:
-            self._epsilon = self._FindGoodEpsilon()
-        else:
-            self._epsilon = self.step_size
-        self._epsilon_bar = "unset"
-
-        # Parameter mu, does not change during the run
-        self._mu = np.log(10*self._epsilon)
-
-        self._H_bar = 0
-
-        # NUTS run diagnostic:
-        # number of tree nodes created each NUTS iteration
-        self._num_tree_node = 0
-
-        # Create lists to store NUTS run diagnostics
-        self._create_run_diagnostic_attributes()
-
-    #=========================================================================
-    #============================== Properties ===============================
-    #=========================================================================
-    @property
-    def max_depth(self):
-        return self._max_depth
-
-    @max_depth.setter
-    def max_depth(self, value):
-        if value is None:
-            value = 15 # default value
-        if not isinstance(value, int):
-            raise TypeError('max_depth must be an integer.')
-        if value < 0:
-            raise ValueError('max_depth must be >= 0.')
-        self._max_depth = value
-
-    @property
-    def step_size(self):
-        return self._step_size
-    
-    @step_size.setter
-    def step_size(self, value):
-        if value is None:
-            pass # NUTS will adapt the step size
-
-        # step_size must be a positive float, raise error otherwise
-        elif isinstance(value, bool)\
-            or not isinstance(value, Number)\
-            or value <= 0:
-            raise TypeError('step_size must be a positive float or None.')
-        self._step_size = value
-
-    @property
-    def opt_acc_rate(self):
-        return self._opt_acc_rate
-    
-    @opt_acc_rate.setter
-    def opt_acc_rate(self, value):
-        if not isinstance(value, Number) or value <= 0 or value >= 1:
-            raise ValueError('opt_acc_rate must be a float in (0, 1).')
-        self._opt_acc_rate = value
-
-    #=========================================================================
-    #================== Implement methods required by Sampler =============
-    #=========================================================================
-    def validate_target(self):
-        # Check if the target has logd and gradient methods
-        try:
-            current_target_logd, current_target_grad =\
-            self._nuts_target(np.ones(self.dim))
-        except:
-            raise ValueError('Target must have logd and gradient methods.')
-
-    def reinitialize(self):
-        # Call the parent reset method
-        super().reinitialize()
-        # Reset NUTS run diagnostic attributes
-        self._reset_run_diagnostic_attributes()
-
-    def step(self):
-        if isinstance(self._epsilon_bar, str) and self._epsilon_bar == "unset":
-            self._epsilon_bar = self._epsilon
-
-        # Convert current_point, logd, and grad to numpy arrays
-        # if they are CUQIarray objects
-        if isinstance(self.current_point, CUQIarray):
-            self.current_point = self.current_point.to_numpy() 
-        if isinstance(self.current_target_logd, CUQIarray):
-            self.current_target_logd = self.current_target_logd.to_numpy()
-        if isinstance(self.current_target_grad, CUQIarray):
-            self.current_target_grad = self.current_target_grad.to_numpy()
-
-        # reset number of tree nodes for each iteration
-        self._num_tree_node = 0
-
-        # copy current point, logd, and grad in local variables
-        point_k = self.current_point # initial position (parameters)
-        logd_k = self.current_target_logd
-        grad_k = self.current_target_grad # initial gradient
-        
-        # compute r_k and Hamiltonian
-        r_k = self._Kfun(1, 'sample') # resample momentum vector
-        Ham = logd_k - self._Kfun(r_k, 'eval') # Hamiltonian
-
-        # slice variable
-        log_u = Ham - np.random.exponential(1, size=1)
-
-        # initialization
-        j, s, n = 0, 1, 1
-        point_minus, point_plus = point_k.copy(), point_k.copy()
-        grad_minus, grad_plus = grad_k.copy(), grad_k.copy()
-        r_minus, r_plus = r_k.copy(), r_k.copy()
-
-        # run NUTS
-        acc = 0
-        while (s == 1) and (j <= self.max_depth):
-            # sample a direction
-            v = int(2*(np.random.rand() < 0.5)-1)
-
-            # build tree: doubling procedure
-            if (v == -1):
-                point_minus, r_minus, grad_minus, _, _, _, \
-                    point_prime, logd_prime, grad_prime,\
-                        n_prime, s_prime, alpha, n_alpha = \
-                            self._BuildTree(point_minus, r_minus, grad_minus,
-                                            Ham, log_u, v, j, self._epsilon)
-            else:
-                _, _, _, point_plus, r_plus, grad_plus, \
-                    point_prime, logd_prime, grad_prime,\
-                        n_prime, s_prime, alpha, n_alpha = \
-                            self._BuildTree(point_plus, r_plus, grad_plus,
-                                            Ham, log_u, v, j, self._epsilon)
-
-            # Metropolis step
-            alpha2 = min(1, (n_prime/n)) #min(0, np.log(n_p) - np.log(n))
-            if (s_prime == 1) and \
-                (np.random.rand() <= alpha2) and \
-                (not np.isnan(logd_prime)) and \
-                (not np.isinf(logd_prime)):
-                self.current_point = point_prime.copy()
-                # copy if array, else assign if scalar
-                self.current_target_logd = (
-                        logd_prime.copy()
-                        if isinstance(logd_prime, np.ndarray)
-                        else logd_prime
-                    )
-                self.current_target_grad = grad_prime.copy()
-                acc = 1
-
-
-            # update number of particles, tree level, and stopping criterion
-            n += n_prime
-            dpoints = point_plus - point_minus
-            s = s_prime *\
-                int((dpoints @ r_minus.T) >= 0) * int((dpoints @ r_plus.T) >= 0)
-            j += 1
-            self._current_alpha_ratio = alpha/n_alpha
-
-        # update run diagnostic attributes
-        self._update_run_diagnostic_attributes(
-            self._num_tree_node, self._epsilon, self._epsilon_bar)
-        
-        self._epsilon = self._epsilon_bar 
-        if np.isnan(self.current_target_logd):
-            raise NameError('NaN potential func')
-
-        return acc
-
-    def tune(self, skip_len, update_count):
-        """ adapt epsilon during burn-in using dual averaging"""
-        if isinstance(self._epsilon_bar, str) and self._epsilon_bar == "unset":
-            self._epsilon_bar = 1
-
-        k = update_count+1
-
-        # Fixed parameters that do not change during the run
-        gamma, t_0, kappa = 0.05, 10, 0.75 # kappa in (0.5, 1]
-
-        eta1 = 1/(k + t_0)
-        self._H_bar = (1-eta1)*self._H_bar +\
-            eta1*(self.opt_acc_rate - (self._current_alpha_ratio))
-        self._epsilon = np.exp(self._mu - (np.sqrt(k)/gamma)*self._H_bar)
-        eta = k**(-kappa)
-        self._epsilon_bar =\
-            np.exp(eta*np.log(self._epsilon) +(1-eta)*np.log(self._epsilon_bar))
-
-    #=========================================================================
-    def _nuts_target(self, x): # returns logposterior tuple evaluation-gradient
-        return self.target.logd(x), self.target.gradient(x)
-
-    #=========================================================================
-    # auxiliary standard Gaussian PDF: kinetic energy function
-    # d_log_2pi = d*np.log(2*np.pi)
-    def _Kfun(self, r, flag):
-        if flag == 'eval': # evaluate
-            return 0.5*(r.T @ r) #+ d_log_2pi 
-        if flag == 'sample': # sample
-            return np.random.standard_normal(size=self.dim)
-
-    #=========================================================================
-    def _FindGoodEpsilon(self, epsilon=1):
-        point_k = self.current_point
-        self.current_target_logd, self.current_target_grad = self._nuts_target(
-            point_k)
-        logd = self.current_target_logd
-        grad = self.current_target_grad
-
-        r = self._Kfun(1, 'sample')    # resample a momentum
-        Ham = logd - self._Kfun(r, 'eval')     # initial Hamiltonian
-        _, r_prime, logd_prime, grad_prime = self._Leapfrog(
-            point_k, r, grad, epsilon)
-
-        # trick to make sure the step is not huge, leading to infinite values of
-        # the likelihood
-        k = 1
-        while np.isinf(logd_prime) or np.isinf(grad_prime).any():
-            k *= 0.5
-            _, r_prime, logd_prime, grad_prime = self._Leapfrog(
-                point_k, r, grad, epsilon*k)
-        epsilon = 0.5*k*epsilon
-
-        # doubles/halves the value of epsilon until the accprob of the Langevin
-        # proposal crosses 0.5
-        Ham_prime = logd_prime - self._Kfun(r_prime, 'eval')
-        log_ratio = Ham_prime - Ham
-        a = 1 if log_ratio > np.log(0.5) else -1
-        while (a*log_ratio > -a*np.log(2)):
-            epsilon = (2**a)*epsilon
-            _, r_prime, logd_prime, _ = self._Leapfrog(
-                point_k, r, grad, epsilon)
-            Ham_prime = logd_prime - self._Kfun(r_prime, 'eval')
-            log_ratio = Ham_prime - Ham
-        return epsilon
-
-    #=========================================================================
-    def _Leapfrog(self, point_old, r_old, grad_old, epsilon):
-        # symplectic integrator: trajectories preserve phase space volumen
-        r_new = r_old + 0.5*epsilon*grad_old     # half-step
-        point_new = point_old + epsilon*r_new     # full-step
-        logd_new, grad_new = self._nuts_target(point_new)     # new gradient
-        r_new += 0.5*epsilon*grad_new     # half-step
-        return point_new, r_new, logd_new, grad_new
-
-    #=========================================================================
-    def _BuildTree(
-            self, point_k, r, grad, Ham, log_u, v, j, epsilon, Delta_max=1000):
-        # Increment the number of tree nodes counter
-        self._num_tree_node += 1
-
-        if (j == 0):     # base case
-            # single leapfrog step in the direction v
-            point_prime, r_prime, logd_prime, grad_prime = self._Leapfrog(
-                point_k, r, grad, v*epsilon)
-            Ham_prime = logd_prime - self._Kfun(r_prime, 'eval') # Hamiltonian
-                                                                 # eval
-            n_prime = int(log_u <= Ham_prime)     # if particle is in the slice
-            s_prime = int(log_u < Delta_max + Ham_prime)     # check U-turn
-            #
-            diff_Ham = Ham_prime - Ham
-
-            # Compute the acceptance probability
-            # alpha_prime = min(1, np.exp(diff_Ham))
-            # written in a stable way to avoid overflow when computing
-            # exp(diff_Ham) for large values of diff_Ham
-            alpha_prime = 1 if diff_Ham > 0 else np.exp(diff_Ham)
-            n_alpha_prime = 1
-            #
-            point_minus, point_plus = point_prime, point_prime
-            r_minus, r_plus = r_prime, r_prime
-            grad_minus, grad_plus = grad_prime, grad_prime
-        else: 
-            # recursion: build the left/right subtrees
-            point_minus, r_minus, grad_minus, point_plus, r_plus, grad_plus, \
-                point_prime, logd_prime, grad_prime,\
-                    n_prime, s_prime, alpha_prime, n_alpha_prime = \
-                        self._BuildTree(point_k, r, grad,
-                                        Ham, log_u, v, j-1, epsilon)
-            if (s_prime == 1): # do only if the stopping criteria does not 
-                               # verify at the first subtree
-                if (v == -1):
-                    point_minus, r_minus, grad_minus, _, _, _, \
-                        point_2prime, logd_2prime, grad_2prime,\
-                            n_2prime, s_2prime, alpha_2prime, n_alpha_2prime = \
-                                self._BuildTree(point_minus, r_minus, grad_minus,
-                                                Ham, log_u, v, j-1, epsilon)
-                else:
-                    _, _, _, point_plus, r_plus, grad_plus, \
-                        point_2prime, logd_2prime, grad_2prime,\
-                            n_2prime, s_2prime, alpha_2prime, n_alpha_2prime = \
-                                self._BuildTree(point_plus, r_plus, grad_plus,
-                                                Ham, log_u, v, j-1, epsilon)
-
-                # Metropolis step
-                alpha2 = n_2prime / max(1, (n_prime + n_2prime))
-                if (np.random.rand() <= alpha2):
-                    point_prime = point_2prime.copy()
-                    # copy if array, else assign if scalar
-                    logd_prime = (
-                        logd_2prime.copy()
-                        if isinstance(logd_2prime, np.ndarray)
-                        else logd_2prime
-                    )
-                    grad_prime = grad_2prime.copy()
-
-                # update number of particles and stopping criterion
-                alpha_prime += alpha_2prime
-                n_alpha_prime += n_alpha_2prime
-                dpoints = point_plus - point_minus
-                s_prime = s_2prime *\
-                    int((dpoints@r_minus.T)>=0) * int((dpoints@r_plus.T)>=0)
-                n_prime += n_2prime
-
-        return point_minus, r_minus, grad_minus, point_plus, r_plus, grad_plus,\
-            point_prime, logd_prime, grad_prime,\
-                n_prime, s_prime, alpha_prime, n_alpha_prime
-
-    #=========================================================================
-    #======================== Diagnostic methods =============================
-    #=========================================================================
-
-    def _create_run_diagnostic_attributes(self):
-        """A method to create attributes to store NUTS run diagnostic."""
-        self._reset_run_diagnostic_attributes()
-
-    def _reset_run_diagnostic_attributes(self):
-        """A method to reset attributes to store NUTS run diagnostic."""
-        # List to store number of tree nodes created each NUTS iteration
-        self.num_tree_node_list = []
-        # List of step size used in each NUTS iteration 
-        self.epsilon_list = []
-        # List of burn-in step size suggestion during adaptation 
-        # only used when adaptation is done
-        # remains fixed after adaptation (after burn-in)
-        self.epsilon_bar_list = []
-
-    def _update_run_diagnostic_attributes(self, n_tree, eps, eps_bar):
-        """A method to update attributes to store NUTS run diagnostic."""
-        # Store the number of tree nodes created in iteration k
-        self.num_tree_node_list.append(n_tree)
-        # Store the step size used in iteration k
-        self.epsilon_list.append(eps)
-        # Store the step size suggestion during adaptation in iteration k
-        self.epsilon_bar_list.append(eps_bar)