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Propagate ref particle in PG #29

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Merged
merged 2 commits into from
Jun 17, 2021
Merged

Propagate ref particle in PG #29

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87734ae
Propagate ref particle in PG
FredericWantiez Jun 13, 2021
5c5723e
Add test
FredericWantiez Jun 13, 2021
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11 changes: 8 additions & 3 deletions src/container.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -314,11 +314,16 @@ The resampling steps use the given `resampler`.
Del Moral, P., Doucet, A., & Jasra, A. (2006). Sequential monte carlo samplers.
Journal of the Royal Statistical Society: Series B (Statistical Methodology), 68(3), 411-436.
"""
function sweep!(rng::Random.AbstractRNG, pc::ParticleContainer, resampler)
function sweep!(
rng::Random.AbstractRNG,
pc::ParticleContainer,
resampler,
ref::Union{Particle,Nothing}=nothing,
)
# Initial step:

# Resample and propagate particles.
resample_propagate!(rng, pc, resampler)
resample_propagate!(rng, pc, resampler, ref)

# Compute the current normalizing constant ``Z₀`` of the unnormalized logarithmic
# weights.
Expand All @@ -339,7 +344,7 @@ function sweep!(rng::Random.AbstractRNG, pc::ParticleContainer, resampler)
# For observations ``y₂, …, yₜ``:
while !isdone
# Resample and propagate particles.
resample_propagate!(rng, pc, resampler)
resample_propagate!(rng, pc, resampler, ref)

# Compute the current normalizing constant ``Z₀`` of the unnormalized logarithmic
# weights.
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2 changes: 1 addition & 1 deletion src/smc.jl
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Expand Up @@ -114,7 +114,7 @@ function AbstractMCMC.step(
particles = ParticleContainer(x)

# Perform a particle sweep.
logevidence = sweep!(rng, particles, sampler.resampler)
logevidence = sweep!(rng, particles, sampler.resampler, particles.vals[nparticles])
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Should also fix https://github.com/TuringLang/Turing.jl/blob/57e0512e3b63e4622c755dc6d933b51eb76d4483/src/inference/AdvancedSMC.jl#L304 when a new release of AdvancedPS is available.


# Pick a particle to be retained.
newtrajectory = rand(rng, particles)
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13 changes: 13 additions & 0 deletions test/container.jl
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Expand Up @@ -51,6 +51,19 @@
)
@test AdvancedPS.logZ(pc) ≈ log(sum(exp, 2 .* logps))

# Resample and propagate particles with reference particle
particles_ref = [AdvancedPS.Trace(fpc(logp)) for logp in logps]
pc_ref = AdvancedPS.ParticleContainer(particles_ref)
AdvancedPS.resample_propagate!(
Random.GLOBAL_RNG, pc_ref, AdvancedPS.resample_systematic, particles_ref[end]
)
@test pc_ref.logWs == zeros(3)
@test AdvancedPS.getweights(pc_ref) == fill(1 / 3, 3)
@test all(AdvancedPS.getweight(pc_ref, i) == 1 / 3 for i in 1:3)
@test AdvancedPS.logZ(pc_ref) ≈ log(3)
@test AdvancedPS.effectiveSampleSize(pc_ref) == 3
@test pc_ref.vals[end] === particles_ref[end]

# Resample and propagate particles.
AdvancedPS.resample_propagate!(Random.GLOBAL_RNG, pc)
@test pc.logWs == zeros(3)
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