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Fix HMC in Gibbs issue with dynamic models #1217

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Merged
merged 6 commits into from
Apr 13, 2020
Merged

Fix HMC in Gibbs issue with dynamic models #1217

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3c2692b
fix #1095
mohdibntarek Apr 13, 2020
ccbe2d3
add test
mohdibntarek Apr 13, 2020
bf18a62
fix bug
mohdibntarek Apr 13, 2020
ab21f01
test PG and MH
mohdibntarek Apr 13, 2020
c8adde2
fix tests
mohdibntarek Apr 13, 2020
c94e928
avoid duplicate line
mohdibntarek Apr 13, 2020
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15 changes: 9 additions & 6 deletions src/inference/hmc.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -337,23 +337,26 @@ function AbstractMCMC.step!(
spl.state.eval_num = 0

Turing.DEBUG && @debug "current ϵ: $ϵ"
# Gibbs component specified cares

# When a Gibbs component
if spl.selector.tag != :default
# Transform the space
Turing.DEBUG && @debug "X-> R..."
link!(spl.state.vi, spl)
runmodel!(model, spl.state.vi, spl)
end
# Get position and log density before transition
θ_old, log_density_old = spl.state.vi[spl], getlogp(spl.state.vi)
if spl.selector.tag != :default
# Update Hamiltonian
metric = gen_metric(length(spl.state.vi[spl]), spl)
metric = gen_metric(length(θ_old), spl)
∂logπ∂θ = gen_∂logπ∂θ(spl.state.vi, spl, model)
logπ = gen_logπ(spl.state.vi, spl, model)
spl.state.h = AHMC.Hamiltonian(metric, logπ, ∂logπ∂θ)
resize!(spl.state.z.θ, length(θ_old))
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@yebai yebai Apr 13, 2020 •
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It is worth noting that the vanilla HMC with identity mass matrix and pre-specified leapfrog step-size might be the only sensible HMC sampler for dynamic models for now, since the adaption schedules for step-size and mass matrix are not guaranteed to work well when the static dimensionality condition no longer holds.

@trappmartin @mohamed82008 @xukai92

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@yebai yebai Apr 13, 2020

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@trappmartin Maybe add a warning for this in the Infinite Mixture Model example?

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@trappmartin trappmartin Apr 13, 2020

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Good point. I'll open a PR for this.

spl.state.z.θ .= θ_old
end

# Get position and log density before transition
θ_old, log_density_old = spl.state.vi[spl], getlogp(spl.state.vi)

# Transition
t = AHMC.step(rng, spl.state.h, spl.state.traj, spl.state.z)
# Update z in state
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26 changes: 26 additions & 0 deletions test/inference/gibbs.jl
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Expand Up @@ -2,6 +2,7 @@ using Random, Turing, Test
import AbstractMCMC
import MCMCChains
import Turing.Inference
using Turing.RandomMeasures

dir = splitdir(splitdir(pathof(Turing))[1])[1]
include(dir*"/test/test_utils/AllUtils.jl")
Expand Down Expand Up @@ -111,4 +112,29 @@ include(dir*"/test/test_utils/AllUtils.jl")
alg = Gibbs(MH(:s), HMC(0.2, 4, :m))
sample(model, alg, 100; callback = callback)
end

@turing_testset "dynamic model" begin
@model imm(y, alpha, ::Type{M}=Vector{Float64}) where {M} = begin
N = length(y)
rpm = DirichletProcess(alpha)

z = tzeros(Int, N)
cluster_counts = tzeros(Int, N)
fill!(cluster_counts, 0)

for i in 1:N
z[i] ~ ChineseRestaurantProcess(rpm, cluster_counts)
cluster_counts[z[i]] += 1
end

Kmax = findlast(!iszero, cluster_counts)
m = M(undef, Kmax)
for k = 1:Kmax
m[k] ~ Normal(1.0, 1.0)
end
end
model = imm(randn(100), 1.0);
sample(model, Gibbs(MH(10, :z), HMC(0.01, 4, :m)), 100);
sample(model, Gibbs(PG(10, :z), HMC(0.01, 4, :m)), 100);
end
end