Add SGNHT

docs/api/index.md

@@ -27,6 +27,9 @@ All Laplace transforms leave the parameters unmodified. Comprehensive details on
 - [`sgmcmc.sghmc`](sgmcmc/sghmc.md) implements the stochastic gradient Hamiltonian
 Monte Carlo (SGHMC) algorithm from [Chen et al, 2014](https://arxiv.org/abs/1402.4102)
 (without momenta resampling).
+- [`sgmcmc.sgnht`](sgmcmc/sgnht.md) implements the stochastic gradient Nosé-Hoover
+thermostat (SGNHT) algorithm from [Ding et al, 2014](https://proceedings.neurips.cc/paper/2014/file/21fe5b8ba755eeaece7a450849876228-Paper.pdf),
+(SGHMC with adaptive friction coefficient).
 
 For an overview and unifying framework for SGMCMC methods, see [Ma et al, 2015](https://arxiv.org/abs/1506.04696).
 

docs/api/sgmcmc/sgnht.md

@@ -0,0 +1,3 @@
+# SGNHT
+
+::: posteriors.sgmcmc.sgnht

mkdocs.yml

@@ -77,6 +77,7 @@ nav:
     - SGMCMC:
       - api/sgmcmc/sgld.md
       - api/sgmcmc/sghmc.md
+      - api/sgmcmc/sgnht.md
     - VI:
       - Diag: api/vi/diag.md
     - api/optim.md

posteriors/sgmcmc/__init__.py

@@ -1,2 +1,3 @@
 from posteriors.sgmcmc import sgld
 from posteriors.sgmcmc import sghmc
+from posteriors.sgmcmc import sgnht

posteriors/sgmcmc/sgnht.py

@@ -0,0 +1,183 @@
+from typing import Any
+from functools import partial
+import torch
+from torch.func import grad_and_value
+from optree import tree_map
+from optree.integration.torch import tree_ravel
+from dataclasses import dataclass
+
+from posteriors.types import TensorTree, Transform, LogProbFn, TransformState
+from posteriors.tree_utils import flexi_tree_map
+from posteriors.utils import is_scalar, CatchAuxError
+
+
+def build(
+    log_posterior: LogProbFn,
+    lr: float,
+    alpha: float = 0.01,
+    beta: float = 0.0,
+    temperature: float = 1.0,
+    momenta: TensorTree | float | None = None,
+    xi: float = None,
+) -> Transform:
+    """Builds SGNHT transform.
+
+    Algorithm from [Ding et al, 2014](https://proceedings.neurips.cc/paper/2014/file/21fe5b8ba755eeaece7a450849876228-Paper.pdf):
+
+    \\begin{align}
+    θ_{t+1} &= θ_t + ε m_t \\\\
+    m_{t+1} &= m_t + ε \\nabla \\log p(θ_t, \\text{batch}) - ε ξ_t m_t
+    + N(0, ε T (2 α - ε β T) \\mathbb{I})\\\\
+    ξ_{t+1} &= ξ_t + ε (m_t^T m_t / d - T)
+    \\end{align}
+
+    for learning rate $\\epsilon$, temperature $T$ and parameter dimension $d$.
+
+    Targets $p_T(θ, m, ξ) \\propto \\exp( (\\log p(θ) - \\frac12 m^Tm + \\frac{d}{2}(ξ - α)^2) / T)$.
+
+    The log posterior and temperature are recommended to be [constructed in tandem](../../log_posteriors.md)
+    to ensure robust scaling for a large amount of data and variable batch size.
+
+    Args:
+        log_posterior: Function that takes parameters and input batch and
+            returns the log posterior value (which can be unnormalised)
+            as well as auxiliary information, e.g. from the model call.
+        lr: Learning rate.
+        alpha: Friction coefficient.
+        beta: Gradient noise coefficient (estimated variance).
+        temperature: Temperature of the joint parameter + momenta distribution.
+        momenta: Initial momenta. Can be tree like params or scalar.
+            Defaults to random iid samples from N(0, 1).
+        xi: Initial value for scalar thermostat ξ. Defaults to `alpha`.
+
+    Returns:
+        SGNHT transform instance.
+    """
+    init_fn = partial(init, momenta=momenta, xi=xi or alpha)
+    update_fn = partial(
+        update,
+        log_posterior=log_posterior,
+        lr=lr,
+        alpha=alpha,
+        beta=beta,
+        temperature=temperature,
+    )
+    return Transform(init_fn, update_fn)
+
+
+@dataclass
+class SGNHTState(TransformState):
+    """State encoding params and momenta for SGNHT.
+
+    Args:
+        params: Parameters.
+        momenta: Momenta for each parameter.
+        log_posterior: Log posterior evaluation.
+        aux: Auxiliary information from the log_posterior call.
+    """
+
+    params: TensorTree
+    momenta: TensorTree
+    xi: float
+    log_posterior: torch.tensor = None
+    aux: Any = None
+
+
+def init(
+    params: TensorTree, momenta: TensorTree | float | None = None, xi: float = 0.01
+) -> SGNHTState:
+    """Initialise momenta for SGNHT.
+
+    Args:
+        params: Parameters for which to initialise.
+        momenta: Initial momenta. Can be tree like params or scalar.
+            Defaults to random iid samples from N(0, 1).
+        xi: Initial value for scalar thermostat ξ.
+
+    Returns:
+        Initial SGNHTState containing momenta.
+    """
+    if momenta is None:
+        momenta = tree_map(
+            lambda x: torch.randn_like(x, requires_grad=x.requires_grad),
+            params,
+        )
+    elif is_scalar(momenta):
+        momenta = tree_map(
+            lambda x: torch.full_like(x, momenta, requires_grad=x.requires_grad),
+            params,
+        )
+
+    return SGNHTState(params, momenta, xi)
+
+
+def update(
+    state: SGNHTState,
+    batch: Any,
+    log_posterior: LogProbFn,
+    lr: float,
+    alpha: float = 0.01,
+    beta: float = 0.0,
+    temperature: float = 1.0,
+    inplace: bool = False,
+) -> SGNHTState:
+    """Updates parameters, momenta and xi for SGNHT.
+
+    Update rule from [Ding et al, 2014](https://proceedings.neurips.cc/paper/2014/file/21fe5b8ba755eeaece7a450849876228-Paper.pdf):
+
+    \\begin{align}
+    θ_{t+1} &= θ_t + ε m_t \\
+    m_{t+1} &= m_t + ε \\nabla \\log p(θ_t, \\text{batch}) - ε ξ_t m_t
+    + N(0, ε T (2 α - ε β T) \\mathbb{I})\\
+    ξ_{t+1} &= ξ_t + ε (m_t^T m_t / d - T)
+    \\end{align}
+
+    for learning rate $\\epsilon$ and temperature $T$
+
+    Args:
+        state: SGNHTState containing params, momenta and xi.
+        batch: Data batch to be send to log_posterior.
+        log_posterior: Function that takes parameters and input batch and
+            returns the log posterior value (which can be unnormalised)
+            as well as auxiliary information, e.g. from the model call.
+        lr: Learning rate.
+        alpha: Friction coefficient.
+        beta: Gradient noise coefficient (estimated variance).
+        temperature: Temperature of the joint parameter + momenta distribution.
+        inplace: Whether to modify state in place.
+
+    Returns:
+        Updated SGNHTState
+        (which are pointers to the inputted state tensors if inplace=True).
+    """
+    with torch.no_grad(), CatchAuxError():
+        grads, (log_post, aux) = grad_and_value(log_posterior, has_aux=True)(
+            state.params, batch
+        )
+
+    def transform_params(p, m):
+        return p + lr * m
+
+    def transform_momenta(m, g):
+        return (
+            m
+            + lr * g
+            - lr * state.xi * m
+            + (temperature * lr * (2 * alpha - temperature * lr * beta)) ** 0.5
+            * torch.randn_like(m)
+        )
+
+    m_flat, _ = tree_ravel(state.momenta)
+    xi_new = state.xi + lr * (torch.mean(m_flat**2) - temperature)
+
+    params = flexi_tree_map(
+        transform_params, state.params, state.momenta, inplace=inplace
+    )
+    momenta = flexi_tree_map(transform_momenta, state.momenta, grads, inplace=inplace)
+
+    if inplace:
+        state.xi = xi_new
+        state.log_posterior = log_post.detach()
+        state.aux = aux
+        return state
+    return SGNHTState(params, momenta, xi_new, log_post.detach(), aux)

tests/sgmcmc/test_sgnht.py

@@ -0,0 +1,85 @@
+from functools import partial
+import torch
+from optree import tree_map
+from optree.integration.torch import tree_ravel
+
+from posteriors.sgmcmc import sgnht
+
+from tests.scenarios import batch_normal_log_prob
+
+
+def test_sgnht():
+    torch.manual_seed(42)
+    target_mean = {"a": torch.randn(2, 1) + 10, "b": torch.randn(1, 1) + 10}
+    target_sds = tree_map(lambda x: torch.randn_like(x).abs(), target_mean)
+
+    target_mean_flat = tree_ravel(target_mean)[0]
+    target_cov = torch.diag(tree_ravel(target_sds)[0] ** 2)
+
+    batch = torch.arange(10).reshape(-1, 1)
+
+    batch_normal_log_prob_spec = partial(
+        batch_normal_log_prob, mean=target_mean, sd_diag=target_sds
+    )
+
+    n_steps = 10000
+    lr = 1e-2
+    alpha = 1.0
+    beta = 0.0
+
+    params = tree_map(lambda x: torch.zeros_like(x), target_mean)
+    init_params_copy = tree_map(lambda x: x.clone(), params)
+
+    sampler = sgnht.build(batch_normal_log_prob_spec, lr=lr, alpha=alpha, beta=beta)
+
+    # Test inplace = False
+    sgnht_state = sampler.init(params)
+    log_posts = []
+    all_params = tree_map(lambda x: x.unsqueeze(0), params)
+
+    for _ in range(n_steps):
+        sgnht_state = sampler.update(sgnht_state, batch, inplace=False)
+
+        all_params = tree_map(
+            lambda x, y: torch.cat((x, y.unsqueeze(0))), all_params, sgnht_state.params
+        )
+
+        log_posts.append(sgnht_state.log_posterior.item())
+
+    burnin = 5000
+    all_params_flat = torch.vmap(lambda x: tree_ravel(x)[0])(all_params)
+    sampled_mean = all_params_flat[burnin:].mean(0)
+    sampled_cov = torch.cov(all_params_flat[burnin:].T)
+
+    assert log_posts[-1] > log_posts[0]
+    assert torch.allclose(sampled_mean, target_mean_flat, atol=1e-0, rtol=1e-1)
+    assert torch.allclose(sampled_cov, target_cov, atol=1e-0, rtol=1e-1)
+    assert tree_map(
+        lambda x, y: torch.all(x == y), params, init_params_copy
+    )  # Check that the parameters are not updated
+
+    # Test inplace = True
+    sgnht_state = sampler.init(params, momenta=0.0)
+    log_posts = []
+    all_params = tree_map(lambda x: x.unsqueeze(0), params)
+
+    for _ in range(n_steps):
+        sgnht_state = sampler.update(sgnht_state, batch, inplace=True)
+
+        all_params = tree_map(
+            lambda x, y: torch.cat((x, y.unsqueeze(0))), all_params, sgnht_state.params
+        )
+
+        log_posts.append(sgnht_state.log_posterior.item())
+
+    burnin = 5000
+    all_params_flat = torch.vmap(lambda x: tree_ravel(x)[0])(all_params)
+    sampled_mean = all_params_flat[burnin:].mean(0)
+    sampled_cov = torch.cov(all_params_flat[burnin:].T)
+
+    assert log_posts[-1] > log_posts[0]
+    assert torch.allclose(sampled_mean, target_mean_flat, atol=1e-0, rtol=1e-1)
+    assert torch.allclose(sampled_cov, target_cov, atol=1e-0, rtol=1e-1)
+    assert tree_map(
+        lambda x, y: torch.all(x != y), params, init_params_copy
+    )  # Check that the parameters are updated