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Parameters returned by the warmup are off #116

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rlouf opened this issue Sep 17, 2021 · 4 comments · Fixed by #218
Closed

Parameters returned by the warmup are off #116

rlouf opened this issue Sep 17, 2021 · 4 comments · Fixed by #218
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adaptation Issue related to the adaptation bug Something isn't working important
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1.0

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rlouf commented Sep 17, 2021

See also #44 for a failure on a simple gaussian target. Issue was spotted while addressing #112.

Bug Description

In the Introduction.ipynb example, the kernel built using parameters obtained with the window adaptation results in only divergences due to a value for the step size that is too large.

Versions

Python implementation: CPython
Python version       : 3.9.6
IPython version      : 7.22.0

jax     : 0.2.20
jaxlib  : 0.1.71
blackjax: 0.2.x

Compiler    : GCC 11.1.0
OS          : Linux
Release     : 5.13.13-arch1-1
Machine     : x86_64
Processor   : 
CPU cores   : 24
Architecture: 64bit
@rlouf rlouf added bug Something isn't working important labels Sep 17, 2021
@rlouf rlouf added this to the 0.3.0 milestone Sep 17, 2021
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rlouf commented Sep 20, 2021

Note: this PR in PyMC3 improves the warmup by waiting for the chain to be in the typical set before adapting the mass matrix.

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rlouf commented Sep 29, 2021

Note: simplify the implementation of the dual averaging algorithm as I did in aehmc.

@junpenglao junpenglao mentioned this issue Oct 30, 2021
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rlouf commented Nov 17, 2021

Looks like the acceptance probability currently returned is not the expected value, which may explain the problem with the warmup.

@junpenglao junpenglao linked a pull request Feb 8, 2022 that will close this issue
Improve window adaptation #44
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@rlouf rlouf linked a pull request Jun 10, 2022 that will close this issue
Set target_acceptance_rate=0.8 in window adaptation #218
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@rlouf rlouf modified the milestones: 0.3.0, 1.0 Jun 29, 2022
@rlouf rlouf added the adaptation Issue related to the adaptation label Jul 3, 2022
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rlouf commented Jul 3, 2022

The Introduction.ipynb notebook was the last place where there was an issue with adaptation (to my knowledge). I updated the notebook in a29272d and found that the resulting kernel samples correctly 👍

@rlouf rlouf closed this as completed Jul 3, 2022
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@rlouf