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Basic support for calling Pathfinder #19

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merged 1 commit into from
May 17, 2024
Merged

Basic support for calling Pathfinder #19

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2 changes: 1 addition & 1 deletion docker/Dockerfile
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Original file line number Diff line number Diff line change
Expand Up @@ -42,7 +42,7 @@ COPY make/js /app/tinystan/make/js
# Build a test model
RUN cd tinystan && \
echo 'include make/js' >> Makefile && \
emmake make test_models/bernoulli/bernoulli.js -j2 && \
emmake make test_models/bernoulli/bernoulli.js -j4 && \
emstrip test_models/bernoulli/bernoulli.wasm

RUN pip install fastapi
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5 changes: 2 additions & 3 deletions docker/make/local
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Expand Up @@ -11,11 +11,10 @@ LDLIBS_TBB ?= -ltbb

# could also uses -fexceptions which is more compatible, but slower
CXXFLAGS+=-fwasm-exceptions
CXXFLAGS+=-g

LDFLAGS+=-sMODULARIZE -sEXPORT_NAME=createModule -sEXPORT_ES6 -sENVIRONMENT=web
LDFLAGS+=-sMODULARIZE -sEXPORT_NAME=createModule -sEXPORT_ES6 -sENVIRONMENT=web -sINCOMING_MODULE_JS_API=print,printErr
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LDFLAGS+=-sEXIT_RUNTIME=1 -sALLOW_MEMORY_GROWTH=1
# Functions we want. Can add more, with a prepended _, from tinystan.h
EXPORTS=_malloc,_free,_tinystan_api_version,_tinystan_create_model,_tinystan_destroy_error,_tinystan_destroy_model,_tinystan_get_error_message,_tinystan_get_error_type,_tinystan_model_num_free_params,_tinystan_model_param_names,_tinystan_sample,_tinystan_separator_char,_tinystan_stan_version
EXPORTS=_malloc,_free,_tinystan_api_version,_tinystan_create_model,_tinystan_destroy_error,_tinystan_destroy_model,_tinystan_get_error_message,_tinystan_get_error_type,_tinystan_model_num_free_params,_tinystan_model_param_names,_tinystan_sample,_tinystan_pathfinder,_tinystan_separator_char,_tinystan_stan_version
LDFLAGS+=-sEXPORTED_FUNCTIONS=$(EXPORTS) -sEXPORTED_RUNTIME_METHODS=stringToUTF8,getValue,UTF8ToString,lengthBytesUTF8

2 changes: 1 addition & 1 deletion gui/src/app/StanSampler/StanSampler.ts
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Expand Up @@ -41,7 +41,7 @@ class StanSampler {
this.#onStatusChangedCallbacks.forEach(cb => cb())
break;
}
case Replies.SampleReturn: {
case Replies.StanReturn: {
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For my own clarification, what's the distinction being made here? Is it "pathfinder doesn't technically do sampling but will still use this verb so we don't want to call it Sample"?

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Yeah, whether or not you can still call the result of an approximation "draws" or "samples" is a bit sticky.

I also think the name previously was incorrect for when the return is actually an error

if (e.data.error) {
this.#errorMessage = e.data.error;
this.#status = 'failed';
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23 changes: 19 additions & 4 deletions gui/src/app/tinystan/Worker.ts
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Expand Up @@ -3,11 +3,12 @@ import StanModel from ".";
export enum Requests {
Load = "load",
Sample = "sample",
Pathfinder = "pathfinder",
}

export enum Replies {
ModelLoaded = "modelLoaded",
SampleReturn = "sampleReturn",
StanReturn = "stanReturn",
Progress = "progress",
}

Expand Down Expand Up @@ -62,15 +63,29 @@ onmessage = function (e) {
}
case Requests.Sample: {
if (!model) {
postMessage({ purpose: Replies.SampleReturn, error: "Model not loaded yet!" })
postMessage({ purpose: Replies.StanReturn, error: "Model not loaded yet!" })
return;
}
try {
const { paramNames, draws } = model.sample(e.data.sampleConfig);
// TODO? use an ArrayBuffer so we can transfer without serialization cost
postMessage({ purpose: Replies.SampleReturn, draws, paramNames, error: null });
postMessage({ purpose: Replies.StanReturn, draws, paramNames, error: null });
} catch (e: any) {
postMessage({ purpose: Replies.SampleReturn, error: e.toString() })
postMessage({ purpose: Replies.StanReturn, error: e.toString() })
}
break;
}
case Requests.Pathfinder: {
if (!model) {
postMessage({ purpose: Replies.StanReturn, error: "Model not loaded yet!" })
return;
}
try {
const { draws, paramNames } = model.pathfinder(e.data.pathfinderConfig);
// TODO? use an ArrayBuffer so we can transfer without serialization cost
postMessage({ purpose: Replies.StanReturn, draws, paramNames, error: null });
} catch (e: any) {
postMessage({ purpose: Replies.StanReturn, error: e.toString() })
}
break;
}
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183 changes: 176 additions & 7 deletions gui/src/app/tinystan/index.ts
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Expand Up @@ -24,6 +24,12 @@ interface WasmModule {
term_buffer: number, window: number, save_warmup: number, stepsize: number, stepsize_jitter: number,
max_depth: number, refresh: number, num_threads: number, out: ptr, out_size: number, metric_out: ptr,
err_ptr: ptr): number;
// prettier-ignore
_tinystan_pathfinder(model: model_ptr, num_paths: number, inits: cstr, seed: number, id: number,
init_radius: number, num_draws: number, max_history_size: number, init_alpha: number, tol_obj: number,
tol_rel_obj: number, tol_grad: number, tol_rel_grad: number, tol_param: number, num_iterations: number,
num_elbo_draws: number, num_multi_draws: number, calculate_lp: number, psis_resample: number,
refresh: number, num_threads: number, out: ptr, out_size: number, err_ptr: ptr): number;
_tinystan_get_error_message(err_ptr: error_ptr): cstr;
_tinystan_get_error_type(err_ptr: error_ptr): number;
_tinystan_destroy_error(err_ptr: error_ptr): void;
Expand All @@ -38,6 +44,8 @@ interface WasmModule {

const NULL = 0 as ptr;

const PTR_SIZE = 4;

const HMC_SAMPLER_VARIABLES = [
"lp__",
"accept_stat__",
Expand All @@ -54,6 +62,8 @@ export enum HMCMetric {
DIAGONAL = 2,
}

const PATHFINDER_VARIABLES = ["lp_approx__", "lp__"];

export type PrintCallback = (s: string) => void;

export type StanDraws = {
Expand Down Expand Up @@ -119,6 +129,59 @@ const defaultSamplerParams: SamplerParams = {
num_threads: -1,
};

interface LBFGSConfig {
max_history_size: number;
init_alpha: number;
tol_obj: number;
tol_rel_obj: number;
tol_grad: number;
tol_rel_grad: number;
tol_param: number;
num_iterations: number;
}

interface PathfinderUniqueParams {
data: string | StanVariableInputs;
num_paths: number;
inits: string | StanVariableInputs | string[] | StanVariableInputs[];
seed: number | null;
id: number;
init_radius: number;
num_draws: number;
num_elbo_draws: number;
num_multi_draws: number;
calculate_lp: boolean;
psis_resample: boolean;
refresh: number;
num_threads: number;
}

export type PathfinderParams = LBFGSConfig & PathfinderUniqueParams;

const defaultPathfinderParams: PathfinderParams = {
data: "",
num_paths: 4,
inits: "",
seed: null,
id: 1,
init_radius: 2.0,
num_draws: 1000,
max_history_size: 5,
init_alpha: 0.001,
tol_obj: 1e-12,
tol_rel_obj: 1e4,
tol_grad: 1e-8,
tol_rel_grad: 1e7,
tol_param: 1e-8,
num_iterations: 1000,
num_elbo_draws: 25,
num_multi_draws: 1000,
calculate_lp: true,
psis_resample: true,
refresh: 100,
num_threads: -1,
};

export default class StanModel {
private m: WasmModule;
private printCallback: PrintCallback | null;
Expand Down Expand Up @@ -190,7 +253,7 @@ export default class StanModel {
f: (model: model_ptr, deferredFree: (p: ptr | cstr) => void) => T,
): T {
const data_ptr = this.encodeString(string_safe_jsonify(data));
const err_ptr = this.m._malloc(4);
const err_ptr = this.m._malloc(PTR_SIZE);
const model = this.m._tinystan_create_model(data_ptr, seed, err_ptr);
this.m._free(data_ptr);

Expand Down Expand Up @@ -248,10 +311,7 @@ export default class StanModel {
throw new Error("num_samples must be at least 1");
}

let seed_ = seed;
if (seed_ === null) {
seed_ = Math.floor(Math.random() * (2 ^ 32));
}
const seed_ = seed !== null ? seed : Math.floor(Math.random() * (2 ^ 32));

return this.withModel(data, seed_, (model, deferredFree) => {
// Get the parameter names
Expand All @@ -264,7 +324,7 @@ export default class StanModel {

const free_params = this.m._tinystan_model_num_free_params(model);
if (free_params === 0) {
throw new Error("No parameters to sample");
throw new Error("Model has no parameters to sample.");
}

// TODO: allow init_inv_metric to be specified
Expand Down Expand Up @@ -297,7 +357,7 @@ export default class StanModel {
const out_ptr = this.m._malloc(n_out * Float64Array.BYTES_PER_ELEMENT);
deferredFree(out_ptr);

const err_ptr = this.m._malloc(4);
const err_ptr = this.m._malloc(PTR_SIZE);
deferredFree(err_ptr);

// Sample from the model
Expand Down Expand Up @@ -386,6 +446,115 @@ export default class StanModel {
});
}

public pathfinder(p: Partial<PathfinderParams>): StanDraws {
const {
data,
num_paths,
inits,
seed,
id,
init_radius,
num_draws,
max_history_size,
init_alpha,
tol_obj,
tol_rel_obj,
tol_grad,
tol_rel_grad,
tol_param,
num_iterations,
num_elbo_draws,
num_multi_draws,
calculate_lp,
psis_resample,
refresh,
num_threads,
} = { ...defaultPathfinderParams, ...p };

if (num_paths < 1) {
throw new Error("num_paths must be at least 1");
}
if (num_draws < 1) {
throw new Error("num_draws must be at least 1");
}
if (num_multi_draws < 1) {
throw new Error("num_multi_draws must be at least 1");
}

const output_rows =
calculate_lp && psis_resample ? num_multi_draws : num_draws * num_paths;

const seed_ = seed !== null ? seed : Math.floor(Math.random() * (2 ^ 32));

return this.withModel(data, seed_, (model, deferredFree) => {
const rawParamNames = this.m.UTF8ToString(
this.m._tinystan_model_param_names(model),
);
const paramNames = PATHFINDER_VARIABLES.concat(rawParamNames.split(","));

const n_params = paramNames.length;

const free_params = this.m._tinystan_model_num_free_params(model);
if (free_params === 0) {
throw new Error("Model has no parameters.");
}

const inits_ptr = this.encodeInits(inits);
deferredFree(inits_ptr);

const n_out = output_rows * n_params;
const out = this.m._malloc(n_out * Float64Array.BYTES_PER_ELEMENT);
deferredFree(out);
const err_ptr = this.m._malloc(PTR_SIZE);
deferredFree(err_ptr);

const result = this.m._tinystan_pathfinder(
model,
num_paths,
inits_ptr,
seed_ || 0,
id,
init_radius,
num_draws,
max_history_size,
init_alpha,
tol_obj,
tol_rel_obj,
tol_grad,
tol_rel_grad,
tol_param,
num_iterations,
num_elbo_draws,
num_multi_draws,
calculate_lp ? 1 : 0,
psis_resample ? 1 : 0,
refresh,
num_threads,
out,
n_out,
err_ptr,
);

if (result != 0) {
this.handleError(err_ptr);
}

const out_buffer = this.m.HEAPF64.subarray(
out / Float64Array.BYTES_PER_ELEMENT,
out / Float64Array.BYTES_PER_ELEMENT + n_out,
);

const draws: number[][] = Array.from({ length: n_params }, (_, i) =>
Array.from(
{ length: output_rows },
(_, j) => out_buffer[i + n_params * j],
),
);

return { paramNames, draws };
});
}

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Might want to convert the _malloc(4) calls below to use PTR_SIZE instead, since you added it.

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the 4 in those mallocs is a different 4 than the ones I changed here (it is not necessarily true that sizeof(int*) == sizeof(int), in fact on x64 systems it is false)

So I could define an INT_SIZE const variable, but those are also the only places I think the API will ever need to malloc an int (in retrospect, I could use Int32Array.BYTES_PER_ELEMENT as something more self-documenting, but also the fact that Int32 is in the name does pretty strongly imply the answer will be 4...)

public stanVersion(): string {
const major = this.m._malloc(4);
const minor = this.m._malloc(4);
Expand Down