sample with LogDensityFunction: part 2 - ess.jl + mh.jl
#2590
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Turing.jl documentation for PR #2590 is available at: |
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## py/ldf-hmc #2590 +/- ##
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+ Coverage 42.32% 74.27% +31.95%
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changed the title
ess.jless.jl + mh.jl
| ctx = if ldf.context isa SamplingContext | ||
| ldf.context | ||
| else | ||
| SamplingContext(rng, spl) | ||
| SamplingContext(rng, spl, ldf.context) | ||
| end |
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otherwise the existing context won't be obeyed
| # Some of the proposals require working in unconstrained space. | ||
| transform_maybe(proposal::AMH.Proposal) = proposal | ||
| function transform_maybe(proposal::AMH.RandomWalkProposal) | ||
| return AMH.RandomWalkProposal(Bijectors.transformed(proposal.proposal)) | ||
| end | ||
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| function MH(model::Model; proposal_type=AMH.StaticProposal) | ||
| priors = DynamicPPL.extract_priors(model) | ||
| props = Tuple([proposal_type(prop) for prop in values(priors)]) | ||
| vars = Tuple(map(Symbol, collect(keys(priors)))) | ||
| priors = map(transform_maybe, NamedTuple{vars}(props)) | ||
| return AMH.MetropolisHastings(priors) |
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this code was broken for a long time and nobody bothered to update it. the idea would be that this would return an AMH.MetropolisHastings which then needed to be wrapped in an ExternalSampler. however the external sampler would break (see tests below) I just removed it because it wasn't documented and wasn't working.
| # s6 = externalsampler(MH(gdemo_default, proposal_type=AdvancedMH.RandomWalkProposal)) | ||
| # c6 = sample(gdemo_default, s6, N) | ||
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| # NOTE: Broken because MH doesn't really follow the `logdensity` interface, but calls | ||
| # it with `NamedTuple` instead of `AbstractVector`. | ||
| # s7 = externalsampler(MH(gdemo_default, proposal_type=AdvancedMH.StaticProposal)) | ||
| # c7 = sample(gdemo_default, s7, N) |
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these were the corresponding tests
| @testset "MH link/invlink" begin | ||
| vi_base = DynamicPPL.VarInfo(gdemo_default) |
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these tests covered by requires_unconstrained_space
| check_numerical(chain, [:s, :m], [mean(InverseGamma(2, 3)), 0]; atol=0.3) | ||
| @test mean(chain[:a]) ≈ 0.0 atol = 0.1 |
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this test was annoyingly difficult to get right. with the gdemo model i had to bump this up to 50000 samples to get it to work reasonably often. I replaced it with a simpler model for which it's obvious when it's being sampled from the prior (a = 0) rather than the posterior (a = 2.5).
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Closing as it's too out of date; but the code will probably be recycled into a new PR at some point. |
See #2555
Pending #2588