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Preconditioned mclmc #673
Merged
junpenglao
merged 42 commits into
blackjax-devs:main
from
reubenharry:preconditioned_mclmc
May 25, 2024
Merged
Preconditioned mclmc #673
junpenglao
merged 42 commits into
blackjax-devs:main
from
reubenharry:preconditioned_mclmc
May 25, 2024
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…/blackjax into preconditioned_mclmc
… into inference_algorithm
@junpenglao This is the next in the series of PRs, then #681 then #675 |
This is now ready for review |
junpenglao
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May 24, 2024
junpenglao
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May 25, 2024
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Awesome, thanks!
AdrienCorenflos
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Aug 14, 2024
* Update README.md (blackjax-devs#638) * Update README.md Update citation. * Update README.md * Indexing the notebook showing how to reproduce the GIF. (blackjax-devs#640) Co-authored-by: Junpeng Lao <[email protected]> * Bump python version (blackjax-devs#645) * Bump python version * update bool inverse * SMC: allow each mutation kernel to have different parameters. (blackjax-devs#649) * vmaping over parameters in base * switch from mcmc_factory to just passing in parameters * pre-commit and typing * CRU and docs improvement * pre-commit * code review updates * pre-commit * rename test * Migrate from deprecated `host_callback` to `io_callback` (blackjax-devs#651) * Migrate from deprecated `host_callback` to `io_callback` Co-Authored-By: George Necula <[email protected]> * Format file * Fix bug * Fix MALA transition energy (blackjax-devs#653) * Fix MALA transition energy * Use a different logic. * Change variable names (blackjax-devs#654) * Replace iterative RNG split and carry with `jax.random.fold_in` (blackjax-devs#656) * Replace iterative RNG split and carry with `jax.random.fold_in` * revert unintended change * file formatting * change `jax.tree_map` to `jax.tree.map` * revert unintended file * fiddle with rng_key * seed again * Removal of Algorithm classes. (blackjax-devs#657) * more * removing export * removal of classes, tests passing * linter * fix on test * linter * removing parametrization on test * code review updates * exporting as_top_level_api in dynamic_hmc * linter * code review update: replace imports * Fix deprecated call to jnp.clip (blackjax-devs#664) * Update jax version requirements (blackjax-devs#666) Fix blackjax-devs#665 * Make tests pass on `aarch64-linux` (blackjax-devs#671) * Enable fitlering of AdaptationInfo (blackjax-devs#674) * enable AdaptationInfo filtering * revert progress_bar * fix pre-commit * fix empty sets * enable adapt info filtering for all adaptation algorithms * fix precommit /progressbar=True * change filter tuple to use tree_map * Update `run_inference_algorithm` to split `initial_position` and `initial_state` (blackjax-devs#672) * UPDATE DOCSTRING * ADD STREAMING VERSION * UPDATE TESTS * ADD DOCSTRING * ADD TEST * REFACTOR RUN_INFERENCE_ALGORITHM * UPDATE DOCSTRING * Precommit * CLEAN TESTS * ADD INITIAL_POSITION * FIX TEST * RENAME O * FIX DOCSTRING * PUT EXPECTATION AFTER TRANSFORM * Preconditioned mclmc (blackjax-devs#673) * TESTS * TESTS * UPDATE DOCSTRING * ADD STREAMING VERSION * ADD PRECONDITIONING TO MCLMC * ADD PRECONDITIONING TO TUNING FOR MCLMC * UPDATE GITIGNORE * UPDATE GITIGNORE * UPDATE TESTS * UPDATE TESTS * ADD DOCSTRING * ADD TEST * STREAMING AVERAGE * ADD TEST * REFACTOR RUN_INFERENCE_ALGORITHM * UPDATE DOCSTRING * Precommit * CLEAN TESTS * GITIGNORE * PRECOMMIT CLEAN UP * ADD INITIAL_POSITION * FIX TEST * ADD TEST * REMOVE BENCHMARKS * BUG FIX * CHANGE PRECISION * CHANGE PRECISION * RENAME O * UPDATE STREAMING AVG * UPDATE PR * RENAME STD_MAT * New integrator, and add some metadata to integrators.py (blackjax-devs#681) * TESTS * TESTS * UPDATE DOCSTRING * ADD STREAMING VERSION * ADD PRECONDITIONING TO MCLMC * ADD PRECONDITIONING TO TUNING FOR MCLMC * UPDATE GITIGNORE * UPDATE GITIGNORE * UPDATE TESTS * UPDATE TESTS * ADD DOCSTRING * ADD TEST * STREAMING AVERAGE * ADD TEST * REFACTOR RUN_INFERENCE_ALGORITHM * UPDATE DOCSTRING * Precommit * CLEAN TESTS * GITIGNORE * PRECOMMIT CLEAN UP * FIX SPELLING, ADD OMELYAN, EXPORT COEFFICIENTS * TEMPORARILY ADD BENCHMARKS * ADD INITIAL_POSITION * FIX TEST * CLEAN UP * REMOVE BENCHMARKS * ADD TEST * REMOVE BENCHMARKS * BUG FIX * CHANGE PRECISION * CHANGE PRECISION * ADD OMELYAN TEST * RENAME O * UPDATE STREAMING AVG * UPDATE PR * RENAME STD_MAT * MERGE MAIN * REMOVE COEFFICIENT EXPORTS * Minor formatting (blackjax-devs#685) * Minor formatting * formatting * fix test * formatting * MAKE WINDOW ADAPTATION TAKE INTEGRATOR AS ARGUMENT (blackjax-devs#687) * FIX KWARG BUG (blackjax-devs#686) * FIX KWARG BUG * FIX KWARG BUG * Change isokinetic_integrator generation API (blackjax-devs#689) * Apply function on pytree directly. (blackjax-devs#692) * Apply function on pytree directly. Avoiding unnecssary unpacking * Fix kwarg * Fix sampling test. (blackjax-devs#693) * Enable shared mcmc parameters with tempered smc (blackjax-devs#694) * add parameter filtering * fix parameter split + docstring * change extend_paramss * convert to bit twiddling (blackjax-devs#696) * Remove nightly release (blackjax-devs#699) * Fix doc mistakes (blackjax-devs#701) * Fix equation formatting * Clarify JAX gradient error * Fix punctuation + capitalization * Fix grammar Should not begin sentence with "i.e." in English. * Fix math formatting error * Fix typo Change parallel _ensample_ chain adaptation to parallel _ensemble_ chain adaptation. * Add SVGD citation to appear in doc Currently the SVGD paper is only cited in the `kernel` function, which is defined _within_ the `build_kernel` function. Because of this nested function format, the SVGD paper is _not_ cited in the documentation. To fix this, I added a citation to the SVGD paper in the `as_top_level_api` docstring. * Fix grammar + clarify doc * Fix typo --------- Co-authored-by: Junpeng Lao <[email protected]> * Update index.md (blackjax-devs#711) The jitted step remained unused, leading to the example running with an uncompiled nuts.step. Changing this reduces the execution time by a factor of 30 on my system and showcases blackjax' speed. * Enable progress bar under pmap (blackjax-devs#712) * enable pmap progbar * fix bar creation * add locking * fix formatting * switch to using chain state * remove labels (blackjax-devs#716) * Simplify `run_inference_algorithm` (blackjax-devs#714) * fix minor type errors * storing only expectation values * fixed memory efficient sampling * clean up * renaming vars * precommit fixes * fixing tests * fixing tests * fixing tests * fixing tests * fixing tests * merge main * burn in and fix tests * burn in and fix tests * minor fixes * minor fixes * minor fixes --------- Co-authored-by: [email protected] <[email protected]> * Harmonize Quickstart example (blackjax-devs#717) * Update README.md (blackjax-devs#719) --------- Co-authored-by: Junpeng Lao <[email protected]> Co-authored-by: Carlos Iguaran <[email protected]> Co-authored-by: ksnxr <[email protected]> Co-authored-by: Gaétan Lepage <[email protected]> Co-authored-by: Alberto Cabezas <[email protected]> Co-authored-by: andrewdipper <[email protected]> Co-authored-by: Reuben <[email protected]> Co-authored-by: Gilad Turok <[email protected]> Co-authored-by: johannahaffner <[email protected]> Co-authored-by: [email protected] <[email protected]>
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This PR exists in response to issue #616.
It adds a "mass matrix" (
std_mat
) to the mclmc algorithm, and also updates the tuning scheme. A concomitant update is the functionwith_isokinetic_maruyama
which automates the stochastic momentum update. It seemed appropriate to place this (and thereforepartial_momentum_update
on which it depends) in the file with the integrators.This branch depends on the branch of #672, so that PR should be merged first.
Note: I had some test failures which seemed quite arbitrary, to do with the Yoshida integrator, which had tol=1e-6. Since I didn't change any code that seemed likely to affect the Euclidean Yoshida integrator, I put tol=1e-4, and the tests passed. But worth noting.
main
commit;pre-commit
is installed and configured on your machine, and you ran it before opening the PR;Consider opening a Draft PR if your work is still in progress but you would like some feedback from other contributors.