Merge branch 'master' into fred/turing

Project.toml

@@ -1,12 +1,11 @@
 name = "AdvancedPS"
 uuid = "576499cb-2369-40b2-a588-c64705576edc"
 authors = ["TuringLang"]
-version = "0.5"
+version = "0.5.1"
 
 [deps]
 AbstractMCMC = "80f14c24-f653-4e6a-9b94-39d6b0f70001"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
-Libtask = "6f1fad26-d15e-5dc8-ae53-837a1d7b8c9f"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 Random123 = "74087812-796a-5b5d-8853-05524746bad3"
 Requires = "ae029012-a4dd-5104-9daa-d747884805df"
@@ -19,7 +18,7 @@ Libtask = "6f1fad26-d15e-5dc8-ae53-837a1d7b8c9f"
 AdvancedPSLibtaskExt = "Libtask"
 
 [compat]
-AbstractMCMC = "2, 3, 4"
+AbstractMCMC = "2, 3, 4, 5"
 Distributions = "0.23, 0.24, 0.25"
 Libtask = "0.8"
 Random123 = "1.3"

examples/particle-gibbs/script.jl

@@ -5,7 +5,6 @@ using Distributions
 using Plots
 using AbstractMCMC
 using Random123
-using Libtask
 
 """
     plot_update_rate(update_rate, N)
@@ -91,39 +90,35 @@ plot(x; label="x", xlabel="t")
 plot(y; label="y", xlabel="t")
 
 # Each model takes an `AbstractRNG` as input and generates the logpdf of the current transition:
-mutable struct NonLinearTimeSeries <: AdvancedPS.AbstractGenericModel
-    X::Array
+mutable struct NonLinearTimeSeries <: AdvancedPS.AbstractStateSpaceModel
+    X::Vector{Float64}
     θ::Parameters
-    NonLinearTimeSeries(θ::Parameters) = new(zeros(Float64, θ.T), θ)
+    NonLinearTimeSeries(θ::Parameters) = new(Float64[], θ)
 end
 
-function (model::NonLinearTimeSeries)(rng::Random.AbstractRNG)
-    x₀ = rand(rng, f₀(model.θ))
-    model.X[1] = x₀
-    score = logpdf(g(model.θ, x₀, 1), y[1])
-    Libtask.produce(score)
-
-    for t in 2:(model.θ.T)
-        state = rand(rng, f(model.θ, model.X[t - 1], t - 1))
-        model.X[t] = state
-        score = logpdf(g(model.θ, state, t), y[t])
-        Libtask.produce(score)
-    end
+# The dynamics of the model is defined through the `AbstractStateSpaceModel` interface:
+AdvancedPS.initialization(model::NonLinearTimeSeries) = f₀(model.θ)
+AdvancedPS.transition(model::NonLinearTimeSeries, state, step) = f(model.θ, state, step)
+function AdvancedPS.observation(model::NonLinearTimeSeries, state, step)
+    return logpdf(g(model.θ, state, step), y[step])
 end
+AdvancedPS.isdone(::NonLinearTimeSeries, step) = step > Tₘ
 
 # Here we use the particle gibbs kernel without adaptive resampling.
 model = NonLinearTimeSeries(θ₀)
 pg = AdvancedPS.PG(Nₚ, 1.0)
 chains = sample(rng, model, pg, Nₛ; progress=false);
 #md nothing #hide
 
-particles = hcat([chain.trajectory.X for chain in chains]...) # Concat all sampled states
+particles = hcat([chain.trajectory.model.X for chain in chains]...) # Concat all sampled states
 mean_trajectory = mean(particles; dims=2);
 #md nothing #hide
 
 # We can now plot all the generated traces.
 # Beyond the last few timesteps all the trajectories collapse into one. Using the ancestor updating step can help with the degeneracy problem, as we show below.
-scatter(particles; label=false, opacity=1.01, color=:black, xlabel="t", ylabel="state")
+scatter(
+    particles[:, 1:50]; label=false, opacity=0.5, color=:black, xlabel="t", ylabel="state"
+)
 plot!(x; color=:darkorange, label="Original Trajectory")
 plot!(mean_trajectory; color=:dodgerblue, label="Mean trajectory", opacity=0.9)
 
@@ -133,29 +128,15 @@ plot!(mean_trajectory; color=:dodgerblue, label="Mean trajectory", opacity=0.9)
 plot_update_rate(update_rate(particles, Nₛ)[:, 1], Nₚ)
 
 # Let's see if ancestor sampling can help with the degeneracy problem. We use the same number of particles, but replace the sampler with PGAS. 
-# To use this sampler we need to define the transition and observation densities as well as the initial distribution in the following way:
-mutable struct NonLinearSSM <: AdvancedPS.AbstractStateSpaceModel
-    X::Vector{Float64}
-    θ::Parameters
-    NonLinearSSM(θ::Parameters) = new(Float64[], θ)
-end
-
-AdvancedPS.initialization(model::NonLinearSSM) = f₀(model.θ)
-AdvancedPS.transition(model::NonLinearSSM, state, step) = f(model.θ, state, step)
-function AdvancedPS.observation(model::NonLinearSSM, state, step)
-    return logpdf(g(model.θ, state, step), y[step])
-end
-AdvancedPS.isdone(::NonLinearSSM, step) = step > Tₘ
-
-# We can now sample from the model using the PGAS sampler and collect the trajectories.
 pgas = AdvancedPS.PGAS(Nₚ)
-model = NonLinearSSM(θ₀)
 chains = sample(rng, model, pgas, Nₛ; progress=false);
 particles = hcat([chain.trajectory.model.X for chain in chains]...);
 mean_trajectory = mean(particles; dims=2);
 
 # The ancestor sampling has helped with the degeneracy problem and we now have a much more diverse set of trajectories, also at earlier time periods.
-scatter(particles; label=false, opacity=0.01, color=:black, xlabel="t", ylabel="state")
+scatter(
+    particles[:, 1:50]; label=false, opacity=0.5, color=:black, xlabel="t", ylabel="state"
+)
 plot!(x; color=:darkorange, label="Original Trajectory")
 plot!(mean_trajectory; color=:dodgerblue, label="Mean trajectory", opacity=0.9)
 

ext/AdvancedPSLibtaskExt.jl

@@ -143,7 +143,7 @@ function AbstractMCMC.step(
 
     # Perform a particle sweep.
     reference = isref ? particles.vals[nparticles] : nothing
-    logevidence = AdvancedPS.sweep!(rng, particles, sampler.resampler, reference)
+    logevidence = AdvancedPS.sweep!(rng, particles, sampler.resampler, sampler, reference)
 
     # Pick a particle to be retained.
     newtrajectory = rand(rng, particles)
@@ -180,7 +180,7 @@ function AbstractMCMC.sample(
     particles = AdvancedPS.ParticleContainer(traces, AdvancedPS.TracedRNG(), rng)
 
     # Perform particle sweep.
-    logevidence = AdvancedPS.sweep!(rng, particles, sampler.resampler)
+    logevidence = AdvancedPS.sweep!(rng, particles, sampler.resampler, sampler)
 
     replayed = map(particle -> AdvancedPS.replay(particle).model.f, particles.vals)
 

src/AdvancedPS.jl

@@ -8,6 +8,8 @@ using Random123: Random123
 
 abstract type AbstractParticleModel <: AbstractMCMC.AbstractModel end
 
+abstract type AbstractParticleSampler <: AbstractMCMC.AbstractSampler end
+
 """ Abstract type for an abstract model formulated in the state space form
 """
 abstract type AbstractStateSpaceModel <: AbstractParticleModel end
@@ -17,8 +19,8 @@ include("resampling.jl")
 include("rng.jl")
 include("model.jl")
 include("container.jl")
-include("pgas.jl")
 include("smc.jl")
+include("pgas.jl")
 
 if !isdefined(Base, :get_extension)
     using Requires

src/container.jl

@@ -61,7 +61,11 @@ end
 
 Update reference trajectory. Defaults to `nothing`
 """
-update_ref!(particle::Trace, pc::ParticleContainer) = nothing
+function update_ref!(
+    particle::Trace, pc::ParticleContainer, sampler::AbstractParticleSampler
+)
+    return nothing
+end
 
 """
     reset_logweights!(pc::ParticleContainer)
@@ -167,6 +171,7 @@ of the particle `weights`. For Particle Gibbs sampling, one can provide a refere
 function resample_propagate!(
     ::Random.AbstractRNG,
     pc::ParticleContainer,
+    sampler::AbstractParticleSampler,
     randcat=DEFAULT_RESAMPLER,
     ref::Union{Particle,Nothing}=nothing;
     weights=getweights(pc),
@@ -214,7 +219,7 @@ function resample_propagate!(
     if ref !== nothing
         # Insert the retained particle. This is based on the replaying trick for efficiency
         # reasons. If we implement PG using task copying, we need to store Nx * T particles!
-        update_ref!(ref, pc)
+        update_ref!(ref, pc, sampler)
         @inbounds children[n] = ref
     end
 
@@ -228,6 +233,7 @@ end
 function resample_propagate!(
     rng::Random.AbstractRNG,
     pc::ParticleContainer,
+    sampler::AbstractParticleSampler,
     resampler::ResampleWithESSThreshold,
     ref::Union{Particle,Nothing}=nothing;
     weights=getweights(pc),
@@ -236,7 +242,7 @@ function resample_propagate!(
     ess = inv(sum(abs2, weights))
 
     if ess ≤ resampler.threshold * length(pc)
-        resample_propagate!(rng, pc, resampler.resampler, ref; weights=weights)
+        resample_propagate!(rng, pc, sampler, resampler.resampler, ref; weights=weights)
     else
         update_keys!(pc, ref)
     end
@@ -311,11 +317,12 @@ function sweep!(
     rng::Random.AbstractRNG,
     pc::ParticleContainer,
     resampler,
+    sampler::AbstractMCMC.AbstractSampler,
     ref::Union{Particle,Nothing}=nothing,
 )
     # Initial step:
     # Resample and propagate particles.
-    resample_propagate!(rng, pc, resampler, ref)
+    resample_propagate!(rng, pc, sampler, resampler, ref)
 
     # Compute the current normalizing constant ``Z₀`` of the unnormalized logarithmic
     # weights.
@@ -336,7 +343,7 @@ function sweep!(
     # For observations ``y₂, …, yₜ``:
     while !isdone
         # Resample and propagate particles.
-        resample_propagate!(rng, pc, resampler, ref)
+        resample_propagate!(rng, pc, sampler, resampler, ref)
 
         # Compute the current normalizing constant ``Z₀`` of the unnormalized logarithmic
         # weights.

src/pgas.jl

@@ -133,7 +133,7 @@ function forkr(particle::SSMTrace)
     return newtrace
 end
 
-function update_ref!(ref::SSMTrace, pc::ParticleContainer{<:SSMTrace})
+function update_ref!(ref::SSMTrace, pc::ParticleContainer{<:SSMTrace}, sampler::PGAS)
     current_step(ref) <= 2 && return nothing # At the beginning of step + 1 since we start at 1
     isdone(ref.model, current_step(ref)) && return nothing
 

src/smc.jl

@@ -1,4 +1,4 @@
-struct SMC{R} <: AbstractMCMC.AbstractSampler
+struct SMC{R} <: AbstractParticleSampler
     nparticles::Int
     resampler::R
 end
@@ -46,12 +46,12 @@ function AbstractMCMC.sample(
     particles = ParticleContainer(traces, TracedRNG(), rng)
 
     # Perform particle sweep.
-    logevidence = sweep!(rng, particles, sampler.resampler)
+    logevidence = sweep!(rng, particles, sampler.resampler, sampler)
 
     return SMCSample(collect(particles), getweights(particles), logevidence)
 end
 
-struct PG{R} <: AbstractMCMC.AbstractSampler
+struct PG{R} <: AbstractParticleSampler
     """Number of particles."""
     nparticles::Int
     """Resampling algorithm."""
@@ -84,7 +84,7 @@ struct PGSample{T,L}
     logevidence::L
 end
 
-struct PGAS{R} <: AbstractMCMC.AbstractSampler
+struct PGAS{R} <: AbstractParticleSampler
     """Number of particles."""
     nparticles::Int
     """Resampling algorithm."""
@@ -96,7 +96,7 @@ PGAS(nparticles::Int) = PGAS(nparticles, ResampleWithESSThreshold(1.0))
 function AbstractMCMC.step(
     rng::Random.AbstractRNG,
     model::AbstractStateSpaceModel,
-    sampler::PGAS,
+    sampler::Union{PGAS,PG},
     state::Union{PGState,Nothing}=nothing;
     kwargs...,
 )
@@ -116,7 +116,7 @@ function AbstractMCMC.step(
 
     # Perform a particle sweep.
     reference = isref ? particles.vals[nparticles] : nothing
-    logevidence = sweep!(rng, particles, sampler.resampler, reference)
+    logevidence = sweep!(rng, particles, sampler.resampler, sampler, reference)
 
     # Pick a particle to be retained.
     newtrajectory = rand(particles.rng, particles)

test/Project.toml

@@ -7,7 +7,7 @@ Random123 = "74087812-796a-5b5d-8853-05524746bad3"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [compat]
-AbstractMCMC = "2, 3, 4"
+AbstractMCMC = "2, 3, 4, 5"
 Distributions = "0.24, 0.25"
 Libtask = "0.8"
 Random123 = "1.3"

test/container.jl

@@ -73,8 +73,9 @@
         ref = AdvancedPS.forkr(selected)
         pc_ref.vals[end] = ref
 
+        sampler = AdvancedPS.PG(length(logps))
         AdvancedPS.resample_propagate!(
-            Random.GLOBAL_RNG, pc_ref, AdvancedPS.resample_systematic, ref
+            Random.GLOBAL_RNG, pc_ref, sampler, AdvancedPS.resample_systematic, ref
         )
         @test pc_ref.logWs == zeros(3)
         @test AdvancedPS.getweights(pc_ref) == fill(1 / 3, 3)
@@ -84,7 +85,7 @@
         @test pc_ref.vals[end] === particles_ref[end]
 
         # Resample and propagate particles.
-        AdvancedPS.resample_propagate!(Random.GLOBAL_RNG, pc)
+        AdvancedPS.resample_propagate!(Random.GLOBAL_RNG, pc, sampler)
         @test pc.logWs == zeros(3)
         @test AdvancedPS.getweights(pc) == fill(1 / 3, 3)
         @test all(AdvancedPS.getweight(pc, i) == 1 / 3 for i in 1:3)

test/pgas.jl

@@ -46,6 +46,7 @@
             AdvancedPS.Trace(BaseModel(Params(0.9, 0.31, 1)), AdvancedPS.TracedRNG()) for
             _ in 1:3
         ]
+        sampler = AdvancedPS.PGAS(3)
         resampler = AdvancedPS.ResampleWithESSThreshold(1.0)
 
         part = particles[3]
@@ -58,11 +59,11 @@
         pc = AdvancedPS.ParticleContainer(particles, AdvancedPS.TracedRNG(), base_rng)
 
         AdvancedPS.reweight!(pc, ref)
-        AdvancedPS.resample_propagate!(base_rng, pc, resampler, ref)
+        AdvancedPS.resample_propagate!(base_rng, pc, sampler, resampler, ref)
 
         AdvancedPS.reweight!(pc, ref)
         pc.logWs = [-Inf, 0, -Inf] # Force ancestor update to second particle
-        AdvancedPS.resample_propagate!(base_rng, pc, resampler, ref)
+        AdvancedPS.resample_propagate!(base_rng, pc, sampler, resampler, ref)
 
         AdvancedPS.reweight!(pc, ref)
         @test all(pc.vals[2].model.X[1:2] .≈ ref.model.X[1:2])