bartz 0.7.0__py3-none-any.whl → 0.8.0__py3-none-any.whl

bartz/mcmcstep/_state.py

@@ -0,0 +1,1114 @@
+# bartz/src/bartz/mcmcstep/_state.py
+#
+# Copyright (c) 2024-2026, The Bartz Contributors
+#
+# This file is part of bartz.
+#
+# Permission is hereby granted, free of charge, to any person obtaining a copy
+# of this software and associated documentation files (the "Software"), to deal
+# in the Software without restriction, including without limitation the rights
+# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+# copies of the Software, and to permit persons to whom the Software is
+# furnished to do so, subject to the following conditions:
+#
+# The above copyright notice and this permission notice shall be included in all
+# copies or substantial portions of the Software.
+#
+# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+# SOFTWARE.
+
+"""Module defining the BART MCMC state and initialization."""
+
+from collections.abc import Callable, Hashable
+from dataclasses import fields
+from functools import partial, wraps
+from math import log2
+from typing import Any, Literal, TypedDict, TypeVar
+
+import numpy
+from equinox import Module, error_if
+from equinox import field as eqx_field
+from jax import (
+    NamedSharding,
+    device_put,
+    eval_shape,
+    jit,
+    make_mesh,
+    random,
+    tree,
+    vmap,
+)
+from jax import numpy as jnp
+from jax.scipy.linalg import solve_triangular
+from jax.sharding import AxisType, Mesh, PartitionSpec
+from jax.tree import flatten
+from jaxtyping import Array, Bool, Float32, Int32, Integer, PyTree, Shaped, UInt
+
+from bartz.grove import make_tree, tree_depths
+from bartz.jaxext import get_default_device, is_key, minimal_unsigned_dtype
+
+
+def field(*, chains: bool = False, data: bool = False, **kwargs):
+    """Extend `equinox.field` with two new parameters.
+
+    Parameters
+    ----------
+    chains
+        Whether the arrays in the field have an optional first axis that
+        represents independent Markov chains.
+    data
+        Whether the last axis of the arrays in the field represent units of
+        the data.
+    **kwargs
+        Other parameters passed to `equinox.field`.
+
+    Returns
+    -------
+    A dataclass field descriptor with the special attributes in the metadata, unset if False.
+    """
+    metadata = dict(kwargs.pop('metadata', {}))
+    assert 'chains' not in metadata
+    assert 'data' not in metadata
+    if chains:
+        metadata['chains'] = True
+    if data:
+        metadata['data'] = True
+    return eqx_field(metadata=metadata, **kwargs)
+
+
+def chain_vmap_axes(x: PyTree[Module | Any, 'T']) -> PyTree[int | None, 'T']:
+    """Determine vmapping axes for chains.
+
+    This function determines the argument to the `in_axes` or `out_axes`
+    parameter of `jax.vmap` to vmap over all and only the chain axes found in the
+    pytree `x`.
+
+    Parameters
+    ----------
+    x
+        A pytree. Subpytrees that are Module attributes marked with
+        ``field(..., chains=True)`` are considered to have a leading chain axis.
+
+    Returns
+    -------
+    A pytree with the same structure as `x` with 0 or None in the leaves.
+    """
+    return _find_metadata(x, 'chains', 0, None)
+
+
+def data_vmap_axes(x: PyTree[Module | Any, 'T']) -> PyTree[int | None, 'T']:
+    """Determine vmapping axes for data.
+
+    This is analogous to `chain_vmap_axes` but returns -1 for all fields
+    marked with ``field(..., data=True)``.
+    """
+    return _find_metadata(x, 'data', -1, None)
+
+
+T = TypeVar('T')
+
+
+def _find_metadata(
+    x: PyTree[Any, ' S'], key: Hashable, if_true: T, if_false: T
+) -> PyTree[T, ' S']:
+    """Replace all subtrees of x marked with a metadata key."""
+    if isinstance(x, Module):
+        args = []
+        for f in fields(x):
+            v = getattr(x, f.name)
+            if f.metadata.get('static', False):
+                args.append(v)
+            elif f.metadata.get(key, False):
+                subtree = tree.map(lambda _: if_true, v)
+                args.append(subtree)
+            else:
+                args.append(_find_metadata(v, key, if_true, if_false))
+        return x.__class__(*args)
+
+    def is_leaf(x) -> bool:
+        return isinstance(x, Module)
+
+    def get_axes(x: Module | Any) -> PyTree[T]:
+        if isinstance(x, Module):
+            return _find_metadata(x, key, if_true, if_false)
+        else:
+            return tree.map(lambda _: if_false, x)
+
+    return tree.map(get_axes, x, is_leaf=is_leaf)
+
+
+class Forest(Module):
+    """Represents the MCMC state of a sum of trees."""
+
+    leaf_tree: (
+        Float32[Array, '*chains num_trees 2**d']
+        | Float32[Array, '*chains num_trees k 2**d']
+    ) = field(chains=True)
+    """The leaf values."""
+
+    var_tree: UInt[Array, '*chains num_trees 2**(d-1)'] = field(chains=True)
+    """The decision axes."""
+
+    split_tree: UInt[Array, '*chains num_trees 2**(d-1)'] = field(chains=True)
+    """The decision boundaries."""
+
+    affluence_tree: Bool[Array, '*chains num_trees 2**(d-1)'] = field(chains=True)
+    """Marks leaves that can be grown."""
+
+    max_split: UInt[Array, ' p']
+    """The maximum split index for each predictor."""
+
+    blocked_vars: UInt[Array, ' q'] | None
+    """Indices of variables that are not used. This shall include at least
+    the `i` such that ``max_split[i] == 0``, otherwise behavior is
+    undefined."""
+
+    p_nonterminal: Float32[Array, ' 2**d']
+    """The prior probability of each node being nonterminal, conditional on
+    its ancestors. Includes the nodes at maximum depth which should be set
+    to 0."""
+
+    p_propose_grow: Float32[Array, ' 2**(d-1)']
+    """The unnormalized probability of picking a leaf for a grow proposal."""
+
+    leaf_indices: UInt[Array, '*chains num_trees n'] = field(chains=True, data=True)
+    """The index of the leaf each datapoints falls into, for each tree."""
+
+    min_points_per_decision_node: Int32[Array, ''] | None
+    """The minimum number of data points in a decision node."""
+
+    min_points_per_leaf: Int32[Array, ''] | None
+    """The minimum number of data points in a leaf node."""
+
+    log_trans_prior: Float32[Array, '*chains num_trees'] | None = field(chains=True)
+    """The log transition and prior Metropolis-Hastings ratio for the
+    proposed move on each tree."""
+
+    log_likelihood: Float32[Array, '*chains num_trees'] | None = field(chains=True)
+    """The log likelihood ratio."""
+
+    grow_prop_count: Int32[Array, '*chains'] = field(chains=True)
+    """The number of grow proposals made during one full MCMC cycle."""
+
+    prune_prop_count: Int32[Array, '*chains'] = field(chains=True)
+    """The number of prune proposals made during one full MCMC cycle."""
+
+    grow_acc_count: Int32[Array, '*chains'] = field(chains=True)
+    """The number of grow moves accepted during one full MCMC cycle."""
+
+    prune_acc_count: Int32[Array, '*chains'] = field(chains=True)
+    """The number of prune moves accepted during one full MCMC cycle."""
+
+    leaf_prior_cov_inv: Float32[Array, ''] | Float32[Array, 'k k'] | None
+    """The prior precision matrix of a leaf, conditional on the tree structure.
+    For the univariate case (k=1), this is a scalar (the inverse variance).
+    The prior covariance of the sum of trees is
+    ``num_trees * leaf_prior_cov_inv^-1``."""
+
+    log_s: Float32[Array, '*chains p'] | None = field(chains=True)
+    """The logarithm of the prior probability for choosing a variable to split
+    along in a decision rule, conditional on the ancestors. Not normalized.
+    If `None`, use a uniform distribution."""
+
+    theta: Float32[Array, '*chains'] | None = field(chains=True)
+    """The concentration parameter for the Dirichlet prior on the variable
+    distribution `s`. Required only to update `log_s`."""
+
+    a: Float32[Array, ''] | None
+    """Parameter of the prior on `theta`. Required only to sample `theta`.
+    See `step_theta`."""
+
+    b: Float32[Array, ''] | None
+    """Parameter of the prior on `theta`. Required only to sample `theta`.
+    See `step_theta`."""
+
+    rho: Float32[Array, ''] | None
+    """Parameter of the prior on `theta`. Required only to sample `theta`.
+    See `step_theta`."""
+
+    def num_chains(self) -> int | None:
+        """Return the number of chains, or `None` if not multichain."""
+        # maybe this should be replaced by chain_shape() -> () | (int,)
+        if self.var_tree.ndim == 2:
+            return None
+        else:
+            return self.var_tree.shape[0]
+
+
+class StepConfig(Module):
+    """Options for the MCMC step."""
+
+    steps_done: Int32[Array, '']
+    """The number of MCMC steps completed so far."""
+
+    sparse_on_at: Int32[Array, ''] | None
+    """After how many steps to turn on variable selection."""
+
+    resid_num_batches: int | None = field(static=True)
+    """The number of batches for computing the sum of residuals. If
+    `None`, they are computed with no batching."""
+
+    count_num_batches: int | None = field(static=True)
+    """The number of batches for computing counts. If
+    `None`, they are computed with no batching."""
+
+    prec_num_batches: int | None = field(static=True)
+    """The number of batches for computing precision scales. If
+    `None`, they are computed with no batching."""
+
+    prec_count_num_trees: int | None = field(static=True)
+    """Batch size for processing trees to compute count and prec trees."""
+
+    mesh: Mesh | None = field(static=True)
+    """The mesh used to shard data and computation across multiple devices."""
+
+
+class State(Module):
+    """Represents the MCMC state of BART."""
+
+    X: UInt[Array, 'p n'] = field(data=True)
+    """The predictors."""
+
+    y: Float32[Array, ' n'] | Float32[Array, ' k n'] | Bool[Array, ' n'] = field(
+        data=True
+    )
+    """The response. If the data type is `bool`, the model is binary regression."""
+
+    z: None | Float32[Array, '*chains n'] = field(chains=True, data=True)
+    """The latent variable for binary regression. `None` in continuous
+    regression."""
+
+    offset: Float32[Array, ''] | Float32[Array, ' k']
+    """Constant shift added to the sum of trees."""
+
+    resid: Float32[Array, '*chains n'] | Float32[Array, '*chains k n'] = field(
+        chains=True, data=True
+    )
+    """The residuals (`y` or `z` minus sum of trees)."""
+
+    error_cov_inv: Float32[Array, '*chains'] | Float32[Array, '*chains k k'] | None = (
+        field(chains=True)
+    )
+    """The inverse error covariance (scalar for univariate, matrix for multivariate).
+    `None` in binary regression."""
+
+    prec_scale: Float32[Array, ' n'] | None = field(data=True)
+    """The scale on the error precision, i.e., ``1 / error_scale ** 2``.
+    `None` in binary regression."""
+
+    error_cov_df: Float32[Array, ''] | None
+    """The df parameter of the inverse Wishart prior on the noise
+    covariance. For the univariate case, the relationship to the inverse
+    gamma prior parameters is ``alpha = df / 2``.
+    `None` in binary regression."""
+
+    error_cov_scale: Float32[Array, ''] | Float32[Array, 'k k'] | None
+    """The scale parameter of the inverse Wishart prior on the noise
+    covariance. For the univariate case, the relationship to the inverse
+    gamma prior parameters is ``beta = scale / 2``.
+    `None` in binary regression."""
+
+    forest: Forest
+    """The sum of trees model."""
+
+    config: StepConfig
+    """Metadata and configurations for the MCMC step."""
+
+
+def _init_shape_shifting_parameters(
+    y: Float32[Array, ' n'] | Float32[Array, 'k n'] | Bool[Array, ' n'],
+    offset: Float32[Array, ''] | Float32[Array, ' k'],
+    error_scale: Float32[Any, ' n'] | None,
+    error_cov_df: float | Float32[Any, ''] | None,
+    error_cov_scale: float | Float32[Any, ''] | Float32[Any, 'k k'] | None,
+    leaf_prior_cov_inv: Float32[Array, ''] | Float32[Array, 'k k'],
+) -> tuple[
+    bool,
+    tuple[()] | tuple[int],
+    None | Float32[Array, ''],
+    None | Float32[Array, ''],
+    None | Float32[Array, ''],
+]:
+    """
+    Check and initialize parameters that change array type/shape based on outcome kind.
+
+    Parameters
+    ----------
+    y
+        The response variable; the outcome type is deduced from `y` and then
+        all other parameters are checked against it.
+    offset
+        The offset to add to the predictions.
+    error_scale
+        Per-observation error scale (univariate only).
+    error_cov_df
+        The error covariance degrees of freedom.
+    error_cov_scale
+        The error covariance scale.
+    leaf_prior_cov_inv
+        The inverse of the leaf prior covariance.
+
+    Returns
+    -------
+    is_binary
+        Whether the outcome is binary.
+    kshape
+        The outcome shape, empty for univariate, (k,) for multivariate.
+    error_cov_inv
+        The initialized error covariance inverse.
+    error_cov_df
+        The error covariance degrees of freedom (as array).
+    error_cov_scale
+        The error covariance scale (as array).
+
+    Raises
+    ------
+    ValueError
+        If `y` is binary and multivariate.
+    """
+    # determine outcome kind, binary/continuous x univariate/multivariate
+    is_binary = y.dtype == bool
+    kshape = y.shape[:-1]
+
+    # Binary vs continuous
+    if is_binary:
+        if kshape:
+            msg = 'Binary multivariate regression not supported, open an issue at https://github.com/bartz-org/bartz/issues if you need it.'
+            raise ValueError(msg)
+        assert error_scale is None
+        assert error_cov_df is None
+        assert error_cov_scale is None
+        error_cov_inv = None
+    else:
+        error_cov_df = jnp.asarray(error_cov_df)
+        error_cov_scale = jnp.asarray(error_cov_scale)
+        assert error_cov_scale.shape == 2 * kshape
+
+        # Multivariate vs univariate
+        if kshape:
+            error_cov_inv = error_cov_df * _inv_via_chol_with_gersh(error_cov_scale)
+        else:
+            # inverse gamma prior: alpha = df / 2, beta = scale / 2
+            error_cov_inv = error_cov_df / error_cov_scale
+
+    assert leaf_prior_cov_inv.shape == 2 * kshape
+    assert offset.shape == kshape
+
+    return is_binary, kshape, error_cov_inv, error_cov_df, error_cov_scale
+
+
+def _parse_p_nonterminal(
+    p_nonterminal: Float32[Any, ' d_minus_1'],
+) -> Float32[Array, ' d_minus_1+1']:
+    """Check it's in (0, 1) and pad with a 0 at the end."""
+    p_nonterminal = jnp.asarray(p_nonterminal)
+    ok = (p_nonterminal > 0) & (p_nonterminal < 1)
+    p_nonterminal = error_if(p_nonterminal, ~ok, 'p_nonterminal must be in (0, 1)')
+    return jnp.pad(p_nonterminal, (0, 1))
+
+
+def make_p_nonterminal(
+    d: int, alpha: float | Float32[Array, ''], beta: float | Float32[Array, '']
+) -> Float32[Array, ' {d}-1']:
+    """Prepare the `p_nonterminal` argument to `init`.
+
+    It is calculated according to the formula:
+
+        P_nt(depth) = alpha / (1 + depth)^beta,     with depth 0-based
+
+    Parameters
+    ----------
+    d
+        The maximum depth of the trees (d=1 means tree with only root node)
+    alpha
+        The a priori probability of the root node having children, conditional
+        on it being possible
+    beta
+        The exponent of the power decay of the probability of having children
+        with depth.
+
+    Returns
+    -------
+    An array of probabilities, one per tree level but the last.
+    """
+    assert d >= 1
+    depth = jnp.arange(d - 1)
+    return alpha / (1 + depth).astype(float) ** beta
+
+
+def init(
+    *,
+    X: UInt[Any, 'p n'],
+    y: Float32[Any, ' n'] | Float32[Any, ' k n'] | Bool[Any, ' n'],
+    offset: float | Float32[Any, ''] | Float32[Any, ' k'],
+    max_split: UInt[Any, ' p'],
+    num_trees: int,
+    p_nonterminal: Float32[Any, ' d_minus_1'],
+    leaf_prior_cov_inv: float | Float32[Any, ''] | Float32[Array, 'k k'],
+    error_cov_df: float | Float32[Any, ''] | None = None,
+    error_cov_scale: float | Float32[Any, ''] | Float32[Array, 'k k'] | None = None,
+    error_scale: Float32[Any, ' n'] | None = None,
+    min_points_per_decision_node: int | Integer[Any, ''] | None = None,
+    resid_num_batches: int | None | Literal['auto'] = 'auto',
+    count_num_batches: int | None | Literal['auto'] = 'auto',
+    prec_num_batches: int | None | Literal['auto'] = 'auto',
+    prec_count_num_trees: int | None | Literal['auto'] = 'auto',
+    save_ratios: bool = False,
+    filter_splitless_vars: int = 0,
+    min_points_per_leaf: int | Integer[Any, ''] | None = None,
+    log_s: Float32[Any, ' p'] | None = None,
+    theta: float | Float32[Any, ''] | None = None,
+    a: float | Float32[Any, ''] | None = None,
+    b: float | Float32[Any, ''] | None = None,
+    rho: float | Float32[Any, ''] | None = None,
+    sparse_on_at: int | Integer[Any, ''] | None = None,
+    num_chains: int | None = None,
+    mesh: Mesh | dict[str, int] | None = None,
+    target_platform: Literal['cpu', 'gpu'] | None = None,
+) -> State:
+    """
+    Make a BART posterior sampling MCMC initial state.
+
+    Parameters
+    ----------
+    X
+        The predictors. Note this is trasposed compared to the usual convention.
+    y
+        The response. If the data type is `bool`, the regression model is binary
+        regression with probit. If two-dimensional, the outcome is multivariate
+        with the first axis indicating the component.
+    offset
+        Constant shift added to the sum of trees. 0 if not specified.
+    max_split
+        The maximum split index for each variable. All split ranges start at 1.
+    num_trees
+        The number of trees in the forest.
+    p_nonterminal
+        The probability of a nonterminal node at each depth. The maximum depth
+        of trees is fixed by the length of this array. Use `make_p_nonterminal`
+        to set it with the conventional formula.
+    leaf_prior_cov_inv
+        The prior precision matrix of a leaf, conditional on the tree structure.
+        For the univariate case (k=1), this is a scalar (the inverse variance).
+        The prior covariance of the sum of trees is
+        ``num_trees * leaf_prior_cov_inv^-1``. The prior mean of leaves is
+        always zero.
+    error_cov_df
+    error_cov_scale
+        The df and scale parameters of the inverse Wishart prior on the error
+        covariance. For the univariate case, the relationship to the inverse
+        gamma prior parameters is ``alpha = df / 2``, ``beta = scale / 2``.
+        Leave unspecified for binary regression.
+    error_scale
+        Each error is scaled by the corresponding factor in `error_scale`, so
+        the error variance for ``y[i]`` is ``sigma2 * error_scale[i] ** 2``.
+        Not supported for binary regression. If not specified, defaults to 1 for
+        all points, but potentially skipping calculations.
+    min_points_per_decision_node
+        The minimum number of data points in a decision node. 0 if not
+        specified.
+    resid_num_batches
+    count_num_batches
+    prec_num_batches
+        The number of batches, along datapoints, for summing the residuals,
+        counting the number of datapoints in each leaf, and computing the
+        likelihood precision in each leaf, respectively. `None` for no batching.
+        If 'auto', it's chosen automatically based on the target platform; see
+        the description of `target_platform` below for how it is determined.
+    prec_count_num_trees
+        The number of trees to process at a time when counting datapoints or
+        computing the likelihood precision. If `None`, do all trees at once,
+        which may use too much memory. If 'auto' (default), it's chosen
+        automatically.
+    save_ratios
+        Whether to save the Metropolis-Hastings ratios.
+    filter_splitless_vars
+        The maximum number of variables without splits that can be ignored. If
+        there are more, `init` raises an exception.
+    min_points_per_leaf
+        The minimum number of datapoints in a leaf node. 0 if not specified.
+        Unlike `min_points_per_decision_node`, this constraint is not taken into
+        account in the Metropolis-Hastings ratio because it would be expensive
+        to compute. Grow moves that would violate this constraint are vetoed.
+        This parameter is independent of `min_points_per_decision_node` and
+        there is no check that they are coherent. It makes sense to set
+        ``min_points_per_decision_node >= 2 * min_points_per_leaf``.
+    log_s
+        The logarithm of the prior probability for choosing a variable to split
+        along in a decision rule, conditional on the ancestors. Not normalized.
+        If not specified, use a uniform distribution. If not specified and
+        `theta` or `rho`, `a`, `b` are, it's initialized automatically.
+    theta
+        The concentration parameter for the Dirichlet prior on `s`. Required
+        only to update `log_s`. If not specified, and `rho`, `a`, `b` are
+        specified, it's initialized automatically.
+    a
+    b
+    rho
+        Parameters of the prior on `theta`. Required only to sample `theta`.
+    sparse_on_at
+        After how many MCMC steps to turn on variable selection.
+    num_chains
+        The number of independent MCMC chains to represent in the state. Single
+        chain with scalar values if not specified.
+    mesh
+        A jax mesh used to shard data and computation across multiple devices.
+        If it has a 'chains' axis, that axis is used to shard the chains. If it
+        has a 'data' axis, that axis is used to shard the datapoints.
+
+        As a shorthand, if a dictionary mapping axis names to axis size is
+        passed, the corresponding mesh is created, e.g., ``dict(chains=4,
+        data=2)`` will let jax pick 8 devices to split chains (which must be a
+        multiple of 4) across 4 pairs of devices, where in each pair the data is
+        split in two.
+
+        Note: if a mesh is passed, the arrays are always sharded according to
+        it. In particular even if the mesh has no 'chains' or 'data' axis, the
+        arrays will be replicated on all devices in the mesh.
+    target_platform
+        Platform ('cpu' or 'gpu') used to determine the number of batches
+        automatically. If `mesh` is specified, the platform is inferred from the
+        devices in the mesh. Otherwise, if `y` is a concrete array (i.e., `init`
+        is not invoked in a `jax.jit` context), the platform is set to the
+        platform of `y`. Otherwise, use `target_platform`.
+
+        To avoid confusion, in all cases where the `target_platform` argument
+        would be ignored, `init` raises an exception if `target_platform` is
+        set.
+
+    Returns
+    -------
+    An initialized BART MCMC state.
+
+    Raises
+    ------
+    ValueError
+        If `y` is boolean and arguments unused in binary regression are set.
+
+    Notes
+    -----
+    In decision nodes, the values in ``X[i, :]`` are compared to a cutpoint out
+    of the range ``[1, 2, ..., max_split[i]]``. A point belongs to the left
+    child iff ``X[i, j] < cutpoint``. Thus it makes sense for ``X[i, :]`` to be
+    integers in the range ``[0, 1, ..., max_split[i]]``.
+    """
+    # convert to array all array-like arguments that are used in other
+    # configurations but don't need further processing themselves
+    X = jnp.asarray(X)
+    y = jnp.asarray(y)
+    offset = jnp.asarray(offset)
+    leaf_prior_cov_inv = jnp.asarray(leaf_prior_cov_inv)
+    max_split = jnp.asarray(max_split)
+
+    # check p_nonterminal and pad it with a 0 at the end (still not final shape)
+    p_nonterminal = _parse_p_nonterminal(p_nonterminal)
+
+    # process arguments that change depending on outcome type
+    is_binary, kshape, error_cov_inv, error_cov_df, error_cov_scale = (
+        _init_shape_shifting_parameters(
+            y, offset, error_scale, error_cov_df, error_cov_scale, leaf_prior_cov_inv
+        )
+    )
+
+    # extract array sizes from arguments
+    (max_depth,) = p_nonterminal.shape
+    p, n = X.shape
+
+    # check and initialize sparsity parameters
+    if not _all_none_or_not_none(rho, a, b):
+        msg = 'rho, a, b are not either all `None` or all set'
+        raise ValueError(msg)
+    if theta is None and rho is not None:
+        theta = rho
+    if log_s is None and theta is not None:
+        log_s = jnp.zeros(max_split.size)
+    if not _all_none_or_not_none(theta, sparse_on_at):
+        msg = 'sparsity params (either theta or rho,a,b) and sparse_on_at must be either all None or all set'
+        raise ValueError(msg)
+
+    # process multichain settings
+    chain_shape = () if num_chains is None else (num_chains,)
+    resid_shape = chain_shape + y.shape
+    tree_shape = (*chain_shape, num_trees)
+    add_chains = partial(_add_chains, chain_shape=chain_shape)
+
+    # determine batch sizes for reductions
+    mesh = _parse_mesh(num_chains, mesh)
+    target_platform = _parse_target_platform(
+        y, mesh, target_platform, resid_num_batches, count_num_batches, prec_num_batches
+    )
+    red_cfg = _parse_reduction_configs(
+        resid_num_batches,
+        count_num_batches,
+        prec_num_batches,
+        prec_count_num_trees,
+        y,
+        num_trees,
+        mesh,
+        target_platform,
+    )
+
+    # check there aren't too many deactivated predictors
+    msg = (
+        f'there are more than {filter_splitless_vars=} predictors with no splits, '
+        'please increase `filter_splitless_vars` or investigate the missing splits'
+    )
+    offset = error_if(offset, jnp.sum(max_split == 0) > filter_splitless_vars, msg)
+
+    # initialize all remaining stuff and put it in an unsharded state
+    state = State(
+        X=X,
+        y=y,
+        z=jnp.full(resid_shape, offset) if is_binary else None,
+        offset=offset,
+        resid=jnp.zeros(resid_shape)
+        if is_binary
+        else jnp.broadcast_to(y - offset[..., None], resid_shape),
+        error_cov_inv=add_chains(error_cov_inv),
+        prec_scale=_get_prec_scale(error_scale),
+        error_cov_df=error_cov_df,
+        error_cov_scale=error_cov_scale,
+        forest=Forest(
+            leaf_tree=make_tree(max_depth, jnp.float32, tree_shape + kshape),
+            var_tree=make_tree(
+                max_depth - 1, minimal_unsigned_dtype(p - 1), tree_shape
+            ),
+            split_tree=make_tree(max_depth - 1, max_split.dtype, tree_shape),
+            affluence_tree=(
+                make_tree(max_depth - 1, bool, tree_shape)
+                .at[..., 1]
+                .set(
+                    True
+                    if min_points_per_decision_node is None
+                    else n >= min_points_per_decision_node
+                )
+            ),
+            blocked_vars=_get_blocked_vars(filter_splitless_vars, max_split),
+            max_split=max_split,
+            grow_prop_count=jnp.zeros(chain_shape, int),
+            grow_acc_count=jnp.zeros(chain_shape, int),
+            prune_prop_count=jnp.zeros(chain_shape, int),
+            prune_acc_count=jnp.zeros(chain_shape, int),
+            p_nonterminal=p_nonterminal[tree_depths(2**max_depth)],
+            p_propose_grow=p_nonterminal[tree_depths(2 ** (max_depth - 1))],
+            leaf_indices=jnp.ones(
+                (*tree_shape, n), minimal_unsigned_dtype(2**max_depth - 1)
+            ),
+            min_points_per_decision_node=_asarray_or_none(min_points_per_decision_node),
+            min_points_per_leaf=_asarray_or_none(min_points_per_leaf),
+            log_trans_prior=jnp.zeros((*chain_shape, num_trees))
+            if save_ratios
+            else None,
+            log_likelihood=jnp.zeros((*chain_shape, num_trees))
+            if save_ratios
+            else None,
+            leaf_prior_cov_inv=leaf_prior_cov_inv,
+            log_s=add_chains(_asarray_or_none(log_s)),
+            theta=add_chains(_asarray_or_none(theta)),
+            rho=_asarray_or_none(rho),
+            a=_asarray_or_none(a),
+            b=_asarray_or_none(b),
+        ),
+        config=StepConfig(
+            steps_done=jnp.int32(0),
+            sparse_on_at=_asarray_or_none(sparse_on_at),
+            mesh=mesh,
+            **red_cfg,
+        ),
+    )
+
+    # move all arrays to the appropriate device
+    return _shard_state(state)
+
+
+@partial(jit, donate_argnums=(0,))
+def _get_prec_scale(
+    error_scale: Float32[Array, ' n'] | None,
+) -> Float32[Array, ' n'] | None:
+    """Compute 1 / error_scale**2.
+
+    This is a separate function to use donate_argnums to avoid intermediate
+    copies.
+    """
+    if error_scale is None:
+        return None
+    else:
+        return jnp.reciprocal(jnp.square(jnp.asarray(error_scale)))
+
+
+def _get_blocked_vars(
+    filter_splitless_vars: int, max_split: UInt[Array, ' p']
+) -> None | UInt[Array, ' q']:
+    """Initialize the `blocked_vars` field."""
+    if filter_splitless_vars:
+        (p,) = max_split.shape
+        (blocked_vars,) = jnp.nonzero(
+            max_split == 0, size=filter_splitless_vars, fill_value=p
+        )
+        return blocked_vars.astype(minimal_unsigned_dtype(p))
+        # see `fully_used_variables` for the type cast
+    else:
+        return None
+
+
+def _add_chains(
+    x: Shaped[Array, '*shape'] | None, chain_shape: tuple[int, ...]
+) -> Shaped[Array, '*shape'] | Shaped[Array, ' num_chains *shape'] | None:
+    """Broadcast `x` to all chains."""
+    if x is None:
+        return None
+    else:
+        return jnp.broadcast_to(x, chain_shape + x.shape)
+
+
+def _parse_mesh(
+    num_chains: int | None, mesh: Mesh | dict[str, int] | None
+) -> Mesh | None:
+    """Parse the `mesh` argument."""
+    if mesh is None:
+        return None
+
+    # convert dict format to actual mesh
+    if isinstance(mesh, dict):
+        assert set(mesh).issubset({'chains', 'data'})
+        mesh = make_mesh(
+            tuple(mesh.values()), tuple(mesh), axis_types=(AxisType.Auto,) * len(mesh)
+        )
+
+    # check there's no chain mesh axis if there are no chains
+    if num_chains is None:
+        assert 'chains' not in mesh.axis_names
+
+    # check the axes we use are in auto mode
+    assert 'chains' not in mesh.axis_names or 'chains' in _auto_axes(mesh)
+    assert 'data' not in mesh.axis_names or 'data' in _auto_axes(mesh)
+
+    return mesh
+
+
+def _parse_target_platform(
+    y: Array,
+    mesh: Mesh | None,
+    target_platform: Literal['cpu', 'gpu'] | None,
+    resid_num_batches: int | None | Literal['auto'],
+    count_num_batches: int | None | Literal['auto'],
+    prec_num_batches: int | None | Literal['auto'],
+) -> Literal['cpu', 'gpu'] | None:
+    if mesh is not None:
+        assert target_platform is None, 'mesh provided, do not set target_platform'
+        return mesh.devices.flat[0].platform
+    elif hasattr(y, 'platform'):
+        assert target_platform is None, 'device inferred from y, unset target_platform'
+        return y.platform()
+    elif (
+        resid_num_batches == 'auto'
+        or count_num_batches == 'auto'
+        or prec_num_batches == 'auto'
+    ):
+        assert target_platform in ('cpu', 'gpu')
+        return target_platform
+    else:
+        assert target_platform is None, 'target_platform not used, unset it'
+        return target_platform
+
+
+def _auto_axes(mesh: Mesh) -> list[str]:
+    """Re-implement `Mesh.auto_axes` because that's missing in jax v0.5."""
+    # Mesh.auto_axes added in jax v0.6.0
+    return [
+        n
+        for n, t in zip(mesh.axis_names, mesh.axis_types, strict=True)
+        if t == AxisType.Auto
+    ]
+
+
+def _shard_state(state: State) -> State:
+    """Place all fields in the state on the appropriate devices."""
+    mesh = state.config.mesh
+    if mesh is None:
+        return state
+
+    def shard_leaf(
+        x: Array | None, chain_axis: int | None, data_axis: int | None
+    ) -> Array | None:
+        if x is None:
+            return None
+
+        spec = [None] * x.ndim
+        if chain_axis is not None and 'chains' in mesh.axis_names:
+            spec[chain_axis] = 'chains'
+        if data_axis is not None and 'data' in mesh.axis_names:
+            spec[data_axis] = 'data'
+
+        # remove trailing Nones to be consistent with jax's output, it's useful
+        # for comparing shardings during debugging
+        while spec and spec[-1] is None:
+            spec.pop()
+
+        spec = PartitionSpec(*spec)
+        return device_put(x, NamedSharding(mesh, spec), donate=True)
+
+    return tree.map(
+        shard_leaf,
+        state,
+        chain_vmap_axes(state),
+        data_vmap_axes(state),
+        is_leaf=lambda x: x is None,
+    )
+
+
+def _all_none_or_not_none(*args):
+    is_none = [x is None for x in args]
+    return all(is_none) or not any(is_none)
+
+
+def _asarray_or_none(x):
+    if x is None:
+        return None
+    return jnp.asarray(x)
+
+
+def _get_platform(mesh: Mesh | None) -> str:
+    if mesh is None:
+        return get_default_device().platform
+    else:
+        return mesh.devices.flat[0].platform
+
+
+class _ReductionConfig(TypedDict):
+    """Fields of `StepConfig` related to reductions."""
+
+    resid_num_batches: int | None
+    count_num_batches: int | None
+    prec_num_batches: int | None
+    prec_count_num_trees: int | None
+
+
+def _parse_reduction_configs(
+    resid_num_batches: int | None | Literal['auto'],
+    count_num_batches: int | None | Literal['auto'],
+    prec_num_batches: int | None | Literal['auto'],
+    prec_count_num_trees: int | None | Literal['auto'],
+    y: Float32[Array, ' n'] | Float32[Array, ' k n'] | Bool[Array, ' n'],
+    num_trees: int,
+    mesh: Mesh | None,
+    target_platform: Literal['cpu', 'gpu'] | None,
+) -> _ReductionConfig:
+    """Determine settings for indexed reduces."""
+    n = y.shape[-1]
+    n //= get_axis_size(mesh, 'data')  # per-device datapoints
+    parse_num_batches = partial(_parse_num_batches, target_platform, n)
+    return dict(
+        resid_num_batches=parse_num_batches(resid_num_batches, 'resid'),
+        count_num_batches=parse_num_batches(count_num_batches, 'count'),
+        prec_num_batches=parse_num_batches(prec_num_batches, 'prec'),
+        prec_count_num_trees=_parse_prec_count_num_trees(
+            prec_count_num_trees, num_trees, n
+        ),
+    )
+
+
+def _parse_num_batches(
+    target_platform: Literal['cpu', 'gpu'] | None,
+    n: int,
+    num_batches: int | None | Literal['auto'],
+    which: Literal['resid', 'count', 'prec'],
+) -> int | None:
+    """Return the number of batches or determine it automatically."""
+    final_round = partial(_final_round, n)
+    if num_batches != 'auto':
+        nb = num_batches
+    elif target_platform == 'cpu':
+        nb = final_round(16)
+    elif target_platform == 'gpu':
+        nb = dict(resid=1024, count=2048, prec=1024)[which]  # on an A4000
+        nb = final_round(nb)
+    return nb
+
+
+def _final_round(n: int, num: float) -> int | None:
+    """Bound batch size, round number of batches to a power of 2, and disable batching if there's only 1 batch."""
+    # at least some elements per batch
+    num = min(n // 32, num)
+
+    # round to the nearest power of 2 because I guess XLA and the hardware
+    # will like that (not sure about this, maybe just multiple of 32?)
+    num = 2 ** round(log2(num)) if num else 0
+
+    # disable batching if the batch is as large as the whole dataset
+    return num if num > 1 else None
+
+
+def _parse_prec_count_num_trees(
+    prec_count_num_trees: int | None | Literal['auto'], num_trees: int, n: int
+) -> int | None:
+    """Return the number of trees to process at a time or determine it automatically."""
+    if prec_count_num_trees != 'auto':
+        return prec_count_num_trees
+    max_n_by_ntree = 2**27  # about 100M
+    pcnt = max_n_by_ntree // max(1, n)
+    pcnt = min(num_trees, pcnt)
+    pcnt = max(1, pcnt)
+    pcnt = _search_divisor(
+        pcnt, num_trees, max(1, pcnt // 2), max(1, min(num_trees, pcnt * 2))
+    )
+    if pcnt >= num_trees:
+        pcnt = None
+    return pcnt
+
+
+def _search_divisor(target_divisor: int, dividend: int, low: int, up: int) -> int:
+    """Find the divisor closest to `target_divisor` in [low, up] if `target_divisor` is not already.
+
+    If there is none, give up and return `target_divisor`.
+    """
+    assert target_divisor >= 1
+    assert 1 <= low <= up <= dividend
+    if dividend % target_divisor == 0:
+        return target_divisor
+    candidates = numpy.arange(low, up + 1)
+    divisors = candidates[dividend % candidates == 0]
+    if divisors.size == 0:
+        return target_divisor
+    penalty = numpy.abs(divisors - target_divisor)
+    closest = numpy.argmin(penalty)
+    return divisors[closest].item()
+
+
+def get_axis_size(mesh: Mesh | None, axis_name: str) -> int:
+    if mesh is None or axis_name not in mesh.axis_names:
+        return 1
+    else:
+        i = mesh.axis_names.index(axis_name)
+        return mesh.axis_sizes[i]
+
+
+def chol_with_gersh(
+    mat: Float32[Array, '*batch_shape k k'], absolute_eps: bool = False
+) -> Float32[Array, '*batch_shape k k']:
+    """Cholesky with Gershgorin stabilization, supports batching."""
+    return _chol_with_gersh_impl(mat, absolute_eps)
+
+
+@partial(jnp.vectorize, signature='(k,k)->(k,k)', excluded=(1,))
+def _chol_with_gersh_impl(
+    mat: Float32[Array, '*batch_shape k k'], absolute_eps: bool
+) -> Float32[Array, '*batch_shape k k']:
+    rho = jnp.max(jnp.sum(jnp.abs(mat), axis=1), initial=0.0)
+    eps = jnp.finfo(mat.dtype).eps
+    u = mat.shape[0] * rho * eps
+    if absolute_eps:
+        u += eps
+    mat = mat.at[jnp.diag_indices_from(mat)].add(u)
+    return jnp.linalg.cholesky(mat)
+
+
+def _inv_via_chol_with_gersh(mat: Float32[Array, 'k k']) -> Float32[Array, 'k k']:
+    """Compute matrix inverse via Cholesky with Gershgorin stabilization.
+
+    DO NOT USE THIS FUNCTION UNLESS YOU REALLY NEED TO.
+    """
+    L = chol_with_gersh(mat)
+    I = jnp.eye(mat.shape[0], dtype=mat.dtype)
+    L_inv = solve_triangular(L, I, lower=True)
+    return L_inv.T @ L_inv
+
+
+def get_num_chains(x: PyTree) -> int | None:
+    """Get the number of chains of a pytree.
+
+    Find all nodes in the structure that define 'num_chains()', stopping
+    traversal at nodes that define it. Check all values obtained invoking
+    `num_chains` are equal, then return it.
+    """
+    leaves, _ = flatten(x, is_leaf=lambda x: hasattr(x, 'num_chains'))
+    num_chains = [x.num_chains() for x in leaves if hasattr(x, 'num_chains')]
+    ref = num_chains[0]
+    assert all(c == ref for c in num_chains)
+    return ref
+
+
+def _chain_axes_with_keys(x: PyTree) -> PyTree[int | None]:
+    """Return `chain_vmap_axes(x)` but also set to 0 for random keys."""
+    axes = chain_vmap_axes(x)
+
+    def axis_if_key(x, axis):
+        if is_key(x):
+            return 0
+        else:
+            return axis
+
+    return tree.map(axis_if_key, x, axes)
+
+
+def _get_mc_out_axes(
+    fun: Callable[[tuple, dict], PyTree], args: PyTree, in_axes: PyTree[int | None]
+) -> PyTree[int | None]:
+    """Decide chain vmap axes for outputs."""
+    vmapped_fun = vmap(fun, in_axes=in_axes)
+    out = eval_shape(vmapped_fun, *args)
+    return chain_vmap_axes(out)
+
+
+def _find_mesh(x: PyTree) -> Mesh | None:
+    """Find the mesh used for chains."""
+
+    class MeshFound(Exception):
+        pass
+
+    def find_mesh(x: State | Any):
+        if isinstance(x, State):
+            raise MeshFound(x.config.mesh)
+
+    try:
+        tree.map(find_mesh, x, is_leaf=lambda x: isinstance(x, State))
+    except MeshFound as e:
+        return e.args[0]
+    else:
+        raise ValueError
+
+
+def _split_all_keys(x: PyTree, num_chains: int) -> PyTree:
+    """Split all random keys in `num_chains` keys."""
+    mesh = _find_mesh(x)
+
+    def split_key(x):
+        if is_key(x):
+            x = random.split(x, num_chains)
+            if mesh is not None and 'chains' in mesh.axis_names:
+                x = device_put(x, NamedSharding(mesh, PartitionSpec('chains')))
+        return x
+
+    return tree.map(split_key, x)
+
+
+def vmap_chains(
+    fun: Callable[..., T], *, auto_split_keys: bool = False
+) -> Callable[..., T]:
+    """Apply vmap on chain axes automatically if the inputs are multichain."""
+
+    @wraps(fun)
+    def auto_vmapped_fun(*args, **kwargs) -> T:
+        all_args = args, kwargs
+        num_chains = get_num_chains(all_args)
+        if num_chains is not None:
+            if auto_split_keys:
+                all_args = _split_all_keys(all_args, num_chains)
+
+            def wrapped_fun(args, kwargs):
+                return fun(*args, **kwargs)
+
+            mc_in_axes = _chain_axes_with_keys(all_args)
+            mc_out_axes = _get_mc_out_axes(wrapped_fun, all_args, mc_in_axes)
+            vmapped_fun = vmap(wrapped_fun, in_axes=mc_in_axes, out_axes=mc_out_axes)
+            return vmapped_fun(*all_args)
+
+        else:
+            return fun(*args, **kwargs)
+
+    return auto_vmapped_fun