Adjusted MCLMC

blackjax/__init__.py

@@ -3,6 +3,7 @@
 
 from blackjax._version import __version__
 
+from .adaptation.adjusted_mclmc_adaptation import adjusted_mclmc_find_L_and_step_size
 from .adaptation.chees_adaptation import chees_adaptation
 from .adaptation.mclmc_adaptation import mclmc_find_L_and_step_size
 from .adaptation.meads_adaptation import meads_adaptation
@@ -11,6 +12,7 @@
 from .base import SamplingAlgorithm, VIAlgorithm
 from .diagnostics import effective_sample_size as ess
 from .diagnostics import potential_scale_reduction as rhat
+from .mcmc import adjusted_mclmc as _adjusted_mclmc
 from .mcmc import barker
 from .mcmc import dynamic_hmc as _dynamic_hmc
 from .mcmc import elliptical_slice as _elliptical_slice
@@ -109,6 +111,7 @@ def generate_top_level_api_from(module):
 additive_step_random_walk.register_factory("normal_random_walk", normal_random_walk)
 
 mclmc = generate_top_level_api_from(_mclmc)
+adjusted_mclmc = generate_top_level_api_from(_adjusted_mclmc)
 elliptical_slice = generate_top_level_api_from(_elliptical_slice)
 ghmc = generate_top_level_api_from(_ghmc)
 barker_proposal = generate_top_level_api_from(barker)
@@ -158,6 +161,7 @@ def generate_top_level_api_from(module):
     "chees_adaptation",
     "pathfinder_adaptation",
     "mclmc_find_L_and_step_size",  # mclmc adaptation
+    "adjusted_mclmc_find_L_and_step_size",  # adjusted mclmc adaptation
     "ess",  # diagnostics
     "rhat",
 ]

blackjax/adaptation/adjusted_mclmc_adaptation.py

@@ -0,0 +1,314 @@
+import jax
+import jax.numpy as jnp
+from jax.flatten_util import ravel_pytree
+
+from blackjax.adaptation.mclmc_adaptation import MCLMCAdaptationState, handle_nans
+from blackjax.adaptation.step_size import (
+    DualAveragingAdaptationState,
+    dual_averaging_adaptation,
+)
+from blackjax.diagnostics import effective_sample_size
+from blackjax.util import pytree_size, streaming_average_update
+
+Lratio_lowerbound = 0.0
+Lratio_upperbound = 2.0
+
+
+def adjusted_mclmc_find_L_and_step_size(
+    mclmc_kernel,
+    num_steps,
+    state,
+    rng_key,
+    target,
+    frac_tune1=0.1,
+    frac_tune2=0.1,
+    frac_tune3=0.1,
+    diagonal_preconditioning=True,
+    params=None,
+):
+    """
+    Finds the optimal value of the parameters for the MH-MCHMC algorithm.
+
+    Parameters
+    ----------
+    mclmc_kernel
+        The kernel function used for the MCMC algorithm.
+    num_steps
+        The number of MCMC steps that will subsequently be run, after tuning.
+    state
+        The initial state of the MCMC algorithm.
+    rng_key
+        The random number generator key.
+    target
+        The target acceptance rate for the step size adaptation.
+    frac_tune1
+        The fraction of tuning for the first step of the adaptation.
+    frac_tune2
+        The fraction of tuning for the second step of the adaptation.
+    frac_tune3
+        The fraction of tuning for the third step of the adaptation.
+    desired_energy_va
+        The desired energy variance for the MCMC algorithm.
+    trust_in_estimate
+        The trust in the estimate of optimal stepsize.
+    num_effective_samples
+        The number of effective samples for the MCMC algorithm.
+
+    Returns
+    -------
+    A tuple containing the final state of the MCMC algorithm and the final hyperparameters.
+    """
+
+    dim = pytree_size(state.position)
+    if params is None:
+        params = MCLMCAdaptationState(
+            jnp.sqrt(dim), jnp.sqrt(dim) * 0.2, sqrt_diag_cov=jnp.ones((dim,))
+        )
+
+    part1_key, part2_key = jax.random.split(rng_key, 2)
+
+    (
+        state,
+        params,
+        params_history,
+        final_da_val,
+    ) = adjusted_mclmc_make_L_step_size_adaptation(
+        kernel=mclmc_kernel,
+        dim=dim,
+        frac_tune1=frac_tune1,
+        frac_tune2=frac_tune2,
+        target=target,
+        diagonal_preconditioning=diagonal_preconditioning,
+    )(
+        state, params, num_steps, part1_key
+    )
+
+    if frac_tune3 != 0:
+        part2_key1, part2_key2 = jax.random.split(part2_key, 2)
+
+        state, params = adjusted_mclmc_make_adaptation_L(
+            mclmc_kernel, frac=frac_tune3, Lfactor=0.4
+        )(state, params, num_steps, part2_key1)
+
+        (
+            state,
+            params,
+            params_history,
+            final_da_val,
+        ) = adjusted_mclmc_make_L_step_size_adaptation(
+            kernel=mclmc_kernel,
+            dim=dim,
+            frac_tune1=frac_tune1,
+            frac_tune2=0,
+            target=target,
+            fix_L_first_da=True,
+            diagonal_preconditioning=diagonal_preconditioning,
+        )(
+            state, params, num_steps, part2_key2
+        )
+
+    return state, params, params_history, final_da_val
+
+
+def adjusted_mclmc_make_L_step_size_adaptation(
+    kernel,
+    dim,
+    frac_tune1,
+    frac_tune2,
+    target,
+    diagonal_preconditioning,
+    fix_L_first_da=False,
+):
+    """Adapts the stepsize and L of the MCLMC kernel. Designed for the unadjusted MCLMC"""
+
+    def dual_avg_step(fix_L, update_da):
+        """does one step of the dynamics and updates the estimate of the posterior size and optimal stepsize"""
+
+        def step(iteration_state, weight_and_key):
+            mask, rng_key = weight_and_key
+            kernel_key, num_steps_key = jax.random.split(rng_key, 2)
+            (
+                previous_state,
+                params,
+                (adaptive_state, step_size_max),
+                previous_weight_and_average,
+            ) = iteration_state
+
+            avg_num_integration_steps = params.L / params.step_size
+
+            state, info = kernel(
+                rng_key=kernel_key,
+                state=previous_state,
+                avg_num_integration_steps=avg_num_integration_steps,
+                step_size=params.step_size,
+                sqrt_diag_cov=params.sqrt_diag_cov,
+            )
+
+            # step updating
+            success, state, step_size_max, energy_change = handle_nans(
+                previous_state,
+                state,
+                params.step_size,
+                step_size_max,
+                info.energy,
+            )
+
+            log_step_size, log_step_size_avg, step, avg_error, mu = update_da(
+                adaptive_state, info.acceptance_rate
+            )
+
+            adaptive_state = DualAveragingAdaptationState(
+                mask * log_step_size + (1 - mask) * adaptive_state.log_step_size,
+                mask * log_step_size_avg
+                + (1 - mask) * adaptive_state.log_step_size_avg,
+                mask * step + (1 - mask) * adaptive_state.step,
+                mask * avg_error + (1 - mask) * adaptive_state.avg_error,
+                mask * mu + (1 - mask) * adaptive_state.mu,
+            )
+
+            step_size = jax.lax.clamp(
+                1e-5, jnp.exp(adaptive_state.log_step_size), params.L / 1.1
+            )
+            adaptive_state = adaptive_state._replace(log_step_size=jnp.log(step_size))
+            # step_size = 1e-3
+
+            x = ravel_pytree(state.position)[0]
+            # update the running average of x, x^2
+            previous_weight_and_average = streaming_average_update(
+                current_value=jnp.array([x, jnp.square(x)]),
+                previous_weight_and_average=previous_weight_and_average,
+                weight=(1 - mask) * success * step_size,
+                zero_prevention=mask,
+            )
+
+            if fix_L:
+                params = params._replace(
+                    step_size=mask * step_size + (1 - mask) * params.step_size,
+                )
+
+            else:
+                params = params._replace(
+                    step_size=mask * step_size + (1 - mask) * params.step_size,
+                    L=mask * (params.L * (step_size / params.step_size))
+                    + (1 - mask) * params.L,
+                )
+
+            return (
+                state,
+                params,
+                (adaptive_state, step_size_max),
+                previous_weight_and_average,
+            ), (
+                info,
+                params,
+            )
+
+        return step
+
+    def step_size_adaptation(mask, state, params, keys, fix_L, initial_da, update_da):
+        return jax.lax.scan(
+            dual_avg_step(fix_L, update_da),
+            init=(
+                state,
+                params,
+                (initial_da(params.step_size), jnp.inf),  # step size max
+                (0.0, jnp.array([jnp.zeros(dim), jnp.zeros(dim)])),
+            ),
+            xs=(mask, keys),
+        )
+
+    def L_step_size_adaptation(state, params, num_steps, rng_key):
+        num_steps1, num_steps2 = int(num_steps * frac_tune1), int(
+            num_steps * frac_tune2
+        )
+
+        rng_key_pass1, rng_key_pass2 = jax.random.split(rng_key, 2)
+        L_step_size_adaptation_keys_pass1 = jax.random.split(
+            rng_key_pass1, num_steps1 + num_steps2
+        )
+        L_step_size_adaptation_keys_pass2 = jax.random.split(rng_key_pass2, num_steps1)
+
+        # determine which steps to ignore in the streaming average
+        mask = 1 - jnp.concatenate((jnp.zeros(num_steps1), jnp.ones(num_steps2)))
+
+        initial_da, update_da, final_da = dual_averaging_adaptation(target=target)
+
+        (
+            (state, params, (dual_avg_state, step_size_max), (_, average)),
+            (info, params_history),
+        ) = step_size_adaptation(
+            mask,
+            state,
+            params,
+            L_step_size_adaptation_keys_pass1,
+            fix_L=fix_L_first_da,
+            initial_da=initial_da,
+            update_da=update_da,
+        )
+
+        # determine L
+        if num_steps2 != 0.0:
+            x_average, x_squared_average = average[0], average[1]
+            variances = x_squared_average - jnp.square(x_average)
+
+            change = jax.lax.clamp(
+                Lratio_lowerbound,
+                jnp.sqrt(jnp.sum(variances)) / params.L,
+                Lratio_upperbound,
+            )
+            params = params._replace(
+                L=params.L * change, step_size=params.step_size * change
+            )
+            if diagonal_preconditioning:
+                params = params._replace(
+                    sqrt_diag_cov=jnp.sqrt(variances), L=jnp.sqrt(dim)
+                )
+
+            initial_da, update_da, final_da = dual_averaging_adaptation(target=target)
+            (
+                (state, params, (dual_avg_state, step_size_max), (_, average)),
+                (info, params_history),
+            ) = step_size_adaptation(
+                jnp.ones(num_steps1),
+                state,
+                params,
+                L_step_size_adaptation_keys_pass2,
+                fix_L=True,
+                update_da=update_da,
+                initial_da=initial_da,
+            )
+
+        return state, params, params_history.step_size, final_da(dual_avg_state)
+
+    return L_step_size_adaptation
+
+
+def adjusted_mclmc_make_adaptation_L(kernel, frac, Lfactor):
+    """determine L by the autocorrelations (around 10 effective samples are needed for this to be accurate)"""
+
+    def adaptation_L(state, params, num_steps, key):
+        num_steps = int(num_steps * frac)
+        adaptation_L_keys = jax.random.split(key, num_steps)
+
+        def step(state, key):
+            next_state, _ = kernel(
+                rng_key=key,
+                state=state,
+                step_size=params.step_size,
+                avg_num_integration_steps=params.L / params.step_size,
+                sqrt_diag_cov=params.sqrt_diag_cov,
+            )
+            return next_state, next_state.position
+
+        state, samples = jax.lax.scan(
+            f=step,
+            init=state,
+            xs=adaptation_L_keys,
+        )
+
+        flat_samples = jax.vmap(lambda x: ravel_pytree(x)[0])(samples)
+        ess = effective_sample_size(flat_samples[None, ...])
+
+        return state, params._replace(L=Lfactor * params.L * jnp.mean(num_steps / ess))
+
+    return adaptation_L

blackjax/adaptation/mclmc_adaptation.py

@@ -85,10 +85,10 @@ def mclmc_find_L_and_step_size(
     Example
     -------
     .. code::
-        kernel = lambda std_mat : blackjax.mcmc.mclmc.build_kernel(
+        kernel = lambda sqrt_diag_cov : blackjax.mcmc.mclmc.build_kernel(
         logdensity_fn=logdensity_fn,
         integrator=integrator,
-        std_mat=std_mat,
+        sqrt_diag_cov=sqrt_diag_cov,
         )
 
         (

blackjax/mcmc/__init__.py

@@ -1,4 +1,5 @@
 from . import (
+    adjusted_mclmc,
     barker,
     elliptical_slice,
     ghmc,
@@ -24,4 +25,5 @@
     "marginal_latent_gaussian",
     "random_walk",
     "mclmc",
+    "adjusted_mclmc",
 ]