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test_utils.jl
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test_utils.jl
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module TestUtils
using AbstractMCMC
using DynamicPPL
using LinearAlgebra
using Distributions
using Test
using Random: Random
using Bijectors: Bijectors
using Setfield: Setfield
# For backwards compat.
using DynamicPPL: varname_leaves
"""
update_values!!(vi::AbstractVarInfo, vals::NamedTuple, vns)
Return instance similar to `vi` but with `vns` set to values from `vals`.
"""
function update_values!!(vi::AbstractVarInfo, vals::NamedTuple, vns)
for vn in vns
vi = DynamicPPL.setindex!!(vi, get(vals, vn), vn)
end
return vi
end
"""
test_values(vi::AbstractVarInfo, vals::NamedTuple, vns)
Test that `vi[vn]` corresponds to the correct value in `vals` for every `vn` in `vns`.
"""
function test_values(vi::AbstractVarInfo, vals::NamedTuple, vns; isequal=isequal, kwargs...)
for vn in vns
@test isequal(vi[vn], get(vals, vn); kwargs...)
end
end
"""
setup_varinfos(model::Model, example_values::NamedTuple, varnames)
Return a tuple of instances for different implementations of `AbstractVarInfo` with
each `vi`, supposedly, satisfying `vi[vn] == get(example_values, vn)` for `vn` in `varnames`.
"""
function setup_varinfos(model::Model, example_values::NamedTuple, varnames)
# <:VarInfo
vi_untyped = VarInfo()
model(vi_untyped)
vi_typed = DynamicPPL.TypedVarInfo(vi_untyped)
# <:SimpleVarInfo
svi_typed = SimpleVarInfo(example_values)
svi_untyped = SimpleVarInfo(OrderedDict())
return map((vi_untyped, vi_typed, svi_typed, svi_untyped)) do vi
# Set them all to the same values.
update_values!!(vi, example_values, varnames)
end
end
"""
logprior_true(model, args...)
Return the `logprior` of `model` for `args`.
This should generally be implemented by hand for every specific `model`.
See also: [`logjoint_true`](@ref), [`loglikelihood_true`](@ref).
"""
function logprior_true end
"""
loglikelihood_true(model, args...)
Return the `loglikelihood` of `model` for `args`.
This should generally be implemented by hand for every specific `model`.
See also: [`logjoint_true`](@ref), [`logprior_true`](@ref).
"""
function loglikelihood_true end
"""
logjoint_true(model, args...)
Return the `logjoint` of `model` for `args`.
Defaults to `logprior_true(model, args...) + loglikelihood_true(model, args..)`.
This should generally be implemented by hand for every specific `model`
so that the returned value can be used as a ground-truth for testing things like:
1. Validity of evaluation of `model` using a particular implementation of `AbstractVarInfo`.
2. Validity of a sampler when combined with DynamicPPL by running the sampler twice: once targeting ground-truth functions, e.g. `logjoint_true`, and once targeting `model`.
And more.
See also: [`logprior_true`](@ref), [`loglikelihood_true`](@ref).
"""
function logjoint_true(model::Model, args...)
return logprior_true(model, args...) + loglikelihood_true(model, args...)
end
"""
logjoint_true_with_logabsdet_jacobian(model::Model, args...)
Return a tuple `(args_unconstrained, logjoint)` of `model` for `args`.
Unlike [`logjoint_true`](@ref), the returned logjoint computation includes the
log-absdet-jacobian adjustment, thus computing logjoint for the unconstrained variables.
Note that `args` are assumed be in the support of `model`, while `args_unconstrained`
will be unconstrained.
This should generally not be implemented directly, instead one should implement
[`logprior_true_with_logabsdet_jacobian`](@ref) for a given `model`.
See also: [`logjoint_true`](@ref), [`logprior_true_with_logabsdet_jacobian`](@ref).
"""
function logjoint_true_with_logabsdet_jacobian(model::Model, args...)
args_unconstrained, lp = logprior_true_with_logabsdet_jacobian(model, args...)
return args_unconstrained, lp + loglikelihood_true(model, args...)
end
"""
logprior_true_with_logabsdet_jacobian(model::Model, args...)
Return a tuple `(args_unconstrained, logprior_unconstrained)` of `model` for `args...`.
Unlike [`logprior_true`](@ref), the returned logprior computation includes the
log-absdet-jacobian adjustment, thus computing logprior for the unconstrained variables.
Note that `args` are assumed be in the support of `model`, while `args_unconstrained`
will be unconstrained.
See also: [`logprior_true`](@ref).
"""
function logprior_true_with_logabsdet_jacobian end
"""
varnames(model::Model)
Return a collection of `VarName` as they are expected to appear in the model.
Even though it is recommended to implement this by hand for a particular `Model`,
a default implementation using [`SimpleVarInfo{<:Dict}`](@ref) is provided.
"""
function varnames(model::Model)
return collect(
keys(last(DynamicPPL.evaluate!!(model, SimpleVarInfo(Dict()), SamplingContext())))
)
end
"""
posterior_mean(model::Model)
Return a `NamedTuple` compatible with `varnames(model)` where the values represent
the posterior mean under `model`.
"Compatible" means that a `varname` from `varnames(model)` can be used to extract the
corresponding value using `get`, e.g. `get(posterior_mean(model), varname)`.
"""
function posterior_mean end
"""
demo_dynamic_constraint()
A model with variables `m` and `x` with `x` having support depending on `m`.
"""
@model function demo_dynamic_constraint()
m ~ Normal()
x ~ truncated(Normal(), m, Inf)
return (m=m, x=x)
end
function logprior_true(model::Model{typeof(demo_dynamic_constraint)}, m, x)
return logpdf(Normal(), m) + logpdf(truncated(Normal(), m, Inf), x)
end
function loglikelihood_true(model::Model{typeof(demo_dynamic_constraint)}, m, x)
return zero(float(eltype(m)))
end
function varnames(model::Model{typeof(demo_dynamic_constraint)})
return [@varname(m), @varname(x)]
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_dynamic_constraint)}, m, x
)
b_x = Bijectors.bijector(truncated(Normal(), m, Inf))
x_unconstrained, Δlogp = Bijectors.with_logabsdet_jacobian(b_x, x)
return (m=m, x=x_unconstrained), logprior_true(model, m, x) - Δlogp
end
# A collection of models for which the posterior should be "similar".
# Some utility methods for these.
function _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
b = Bijectors.bijector(InverseGamma(2, 3))
s_unconstrained = b.(s)
Δlogp = sum(Base.Fix1(Bijectors.logabsdetjac, b), s)
return (s=s_unconstrained, m=m), logprior_true(model, s, m) - Δlogp
end
@model function demo_dot_assume_dot_observe(
x=[1.5, 2.0], ::Type{TV}=Vector{Float64}
) where {TV}
# `dot_assume` and `observe`
s = TV(undef, length(x))
m = TV(undef, length(x))
s .~ InverseGamma(2, 3)
m .~ Normal.(0, sqrt.(s))
x ~ MvNormal(m, Diagonal(s))
return (; s=s, m=m, x=x, logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_dot_assume_dot_observe)}, s, m)
return loglikelihood(InverseGamma(2, 3), s) + sum(logpdf.(Normal.(0, sqrt.(s)), m))
end
function loglikelihood_true(model::Model{typeof(demo_dot_assume_dot_observe)}, s, m)
return loglikelihood(MvNormal(m, Diagonal(s)), model.args.x)
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_dot_assume_dot_observe)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_dot_assume_dot_observe)})
return [@varname(s[1]), @varname(s[2]), @varname(m[1]), @varname(m[2])]
end
@model function demo_assume_index_observe(
x=[1.5, 2.0], ::Type{TV}=Vector{Float64}
) where {TV}
# `assume` with indexing and `observe`
s = TV(undef, length(x))
for i in eachindex(s)
s[i] ~ InverseGamma(2, 3)
end
m = TV(undef, length(x))
for i in eachindex(m)
m[i] ~ Normal(0, sqrt(s[i]))
end
x ~ MvNormal(m, Diagonal(s))
return (; s=s, m=m, x=x, logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_assume_index_observe)}, s, m)
return loglikelihood(InverseGamma(2, 3), s) + sum(logpdf.(Normal.(0, sqrt.(s)), m))
end
function loglikelihood_true(model::Model{typeof(demo_assume_index_observe)}, s, m)
return logpdf(MvNormal(m, Diagonal(s)), model.args.x)
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_assume_index_observe)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_assume_index_observe)})
return [@varname(s[1]), @varname(s[2]), @varname(m[1]), @varname(m[2])]
end
@model function demo_assume_multivariate_observe(x=[1.5, 2.0])
# Multivariate `assume` and `observe`
s ~ product_distribution([InverseGamma(2, 3), InverseGamma(2, 3)])
m ~ MvNormal(zero(x), Diagonal(s))
x ~ MvNormal(m, Diagonal(s))
return (; s=s, m=m, x=x, logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_assume_multivariate_observe)}, s, m)
s_dist = product_distribution([InverseGamma(2, 3), InverseGamma(2, 3)])
m_dist = MvNormal(zero(model.args.x), Diagonal(s))
return logpdf(s_dist, s) + logpdf(m_dist, m)
end
function loglikelihood_true(model::Model{typeof(demo_assume_multivariate_observe)}, s, m)
return logpdf(MvNormal(m, Diagonal(s)), model.args.x)
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_assume_multivariate_observe)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_assume_multivariate_observe)})
return [@varname(s), @varname(m)]
end
@model function demo_dot_assume_observe_index(
x=[1.5, 2.0], ::Type{TV}=Vector{Float64}
) where {TV}
# `dot_assume` and `observe` with indexing
s = TV(undef, length(x))
s .~ InverseGamma(2, 3)
m = TV(undef, length(x))
m .~ Normal.(0, sqrt.(s))
for i in eachindex(x)
x[i] ~ Normal(m[i], sqrt(s[i]))
end
return (; s=s, m=m, x=x, logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_dot_assume_observe_index)}, s, m)
return loglikelihood(InverseGamma(2, 3), s) + sum(logpdf.(Normal.(0, sqrt.(s)), m))
end
function loglikelihood_true(model::Model{typeof(demo_dot_assume_observe_index)}, s, m)
return sum(logpdf.(Normal.(m, sqrt.(s)), model.args.x))
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_dot_assume_observe_index)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_dot_assume_observe_index)})
return [@varname(s[1]), @varname(s[2]), @varname(m[1]), @varname(m[2])]
end
# Using vector of `length` 1 here so the posterior of `m` is the same
# as the others.
@model function demo_assume_dot_observe(x=[1.5, 2.0])
# `assume` and `dot_observe`
s ~ InverseGamma(2, 3)
m ~ Normal(0, sqrt(s))
x .~ Normal(m, sqrt(s))
return (; s=s, m=m, x=x, logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_assume_dot_observe)}, s, m)
return logpdf(InverseGamma(2, 3), s) + logpdf(Normal(0, sqrt(s)), m)
end
function loglikelihood_true(model::Model{typeof(demo_assume_dot_observe)}, s, m)
return sum(logpdf.(Normal.(m, sqrt.(s)), model.args.x))
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_assume_dot_observe)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_assume_dot_observe)})
return [@varname(s), @varname(m)]
end
@model function demo_assume_observe_literal()
# `assume` and literal `observe`
s ~ product_distribution([InverseGamma(2, 3), InverseGamma(2, 3)])
m ~ MvNormal(zeros(2), Diagonal(s))
[1.5, 2.0] ~ MvNormal(m, Diagonal(s))
return (; s=s, m=m, x=[1.5, 2.0], logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_assume_observe_literal)}, s, m)
s_dist = product_distribution([InverseGamma(2, 3), InverseGamma(2, 3)])
m_dist = MvNormal(zeros(2), Diagonal(s))
return logpdf(s_dist, s) + logpdf(m_dist, m)
end
function loglikelihood_true(model::Model{typeof(demo_assume_observe_literal)}, s, m)
return logpdf(MvNormal(m, Diagonal(s)), [1.5, 2.0])
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_assume_observe_literal)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_assume_observe_literal)})
return [@varname(s), @varname(m)]
end
@model function demo_dot_assume_observe_index_literal(::Type{TV}=Vector{Float64}) where {TV}
# `dot_assume` and literal `observe` with indexing
s = TV(undef, 2)
m = TV(undef, 2)
s .~ InverseGamma(2, 3)
m .~ Normal.(0, sqrt.(s))
1.5 ~ Normal(m[1], sqrt(s[1]))
2.0 ~ Normal(m[2], sqrt(s[2]))
return (; s=s, m=m, x=[1.5, 2.0], logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_dot_assume_observe_index_literal)}, s, m)
return loglikelihood(InverseGamma(2, 3), s) + sum(logpdf.(Normal.(0, sqrt.(s)), m))
end
function loglikelihood_true(
model::Model{typeof(demo_dot_assume_observe_index_literal)}, s, m
)
return sum(logpdf.(Normal.(m, sqrt.(s)), [1.5, 2.0]))
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_dot_assume_observe_index_literal)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_dot_assume_observe_index_literal)})
return [@varname(s[1]), @varname(s[2]), @varname(m[1]), @varname(m[2])]
end
@model function demo_assume_literal_dot_observe()
# `assume` and literal `dot_observe`
s ~ InverseGamma(2, 3)
m ~ Normal(0, sqrt(s))
[1.5, 2.0] .~ Normal(m, sqrt(s))
return (; s=s, m=m, x=[1.5, 2.0], logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_assume_literal_dot_observe)}, s, m)
return logpdf(InverseGamma(2, 3), s) + logpdf(Normal(0, sqrt(s)), m)
end
function loglikelihood_true(model::Model{typeof(demo_assume_literal_dot_observe)}, s, m)
return loglikelihood(Normal(m, sqrt(s)), [1.5, 2.0])
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_assume_literal_dot_observe)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_assume_literal_dot_observe)})
return [@varname(s), @varname(m)]
end
@model function _prior_dot_assume(::Type{TV}=Vector{Float64}) where {TV}
s = TV(undef, 2)
s .~ InverseGamma(2, 3)
m = TV(undef, 2)
m .~ Normal.(0, sqrt.(s))
return s, m
end
@model function demo_assume_submodel_observe_index_literal()
# Submodel prior
@submodel s, m = _prior_dot_assume()
1.5 ~ Normal(m[1], sqrt(s[1]))
2.0 ~ Normal(m[2], sqrt(s[2]))
return (; s=s, m=m, x=[1.5, 2.0], logp=getlogp(__varinfo__))
end
function logprior_true(
model::Model{typeof(demo_assume_submodel_observe_index_literal)}, s, m
)
return loglikelihood(InverseGamma(2, 3), s) + sum(logpdf.(Normal.(0, sqrt.(s)), m))
end
function loglikelihood_true(
model::Model{typeof(demo_assume_submodel_observe_index_literal)}, s, m
)
return sum(logpdf.(Normal.(m, sqrt.(s)), [1.5, 2.0]))
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_assume_submodel_observe_index_literal)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_assume_submodel_observe_index_literal)})
return [@varname(s[1]), @varname(s[2]), @varname(m[1]), @varname(m[2])]
end
@model function _likelihood_mltivariate_observe(s, m, x)
return x ~ MvNormal(m, Diagonal(s))
end
@model function demo_dot_assume_observe_submodel(
x=[1.5, 2.0], ::Type{TV}=Vector{Float64}
) where {TV}
s = TV(undef, length(x))
s .~ InverseGamma(2, 3)
m = TV(undef, length(x))
m .~ Normal.(0, sqrt.(s))
# Submodel likelihood
@submodel _likelihood_mltivariate_observe(s, m, x)
return (; s=s, m=m, x=x, logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_dot_assume_observe_submodel)}, s, m)
return loglikelihood(InverseGamma(2, 3), s) + sum(logpdf.(Normal.(0, sqrt.(s)), m))
end
function loglikelihood_true(model::Model{typeof(demo_dot_assume_observe_submodel)}, s, m)
return logpdf(MvNormal(m, Diagonal(s)), model.args.x)
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_dot_assume_observe_submodel)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_dot_assume_observe_submodel)})
return [@varname(s[1]), @varname(s[2]), @varname(m[1]), @varname(m[2])]
end
@model function demo_dot_assume_dot_observe_matrix(
x=transpose([1.5 2.0;]), ::Type{TV}=Vector{Float64}
) where {TV}
s = TV(undef, length(x))
s .~ InverseGamma(2, 3)
m = TV(undef, length(x))
m .~ Normal.(0, sqrt.(s))
# Dotted observe for `Matrix`.
x .~ MvNormal(m, Diagonal(s))
return (; s=s, m=m, x=x, logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_dot_assume_dot_observe_matrix)}, s, m)
return loglikelihood(InverseGamma(2, 3), s) + sum(logpdf.(Normal.(0, sqrt.(s)), m))
end
function loglikelihood_true(model::Model{typeof(demo_dot_assume_dot_observe_matrix)}, s, m)
return sum(logpdf.(Normal.(m, sqrt.(s)), model.args.x))
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_dot_assume_dot_observe_matrix)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_dot_assume_dot_observe_matrix)})
return [@varname(s[1]), @varname(s[2]), @varname(m[1]), @varname(m[2])]
end
@model function demo_dot_assume_matrix_dot_observe_matrix(
x=transpose([1.5 2.0;]), ::Type{TV}=Array{Float64}
) where {TV}
n = length(x)
d = length(x) ÷ 2
s = TV(undef, d, 2)
s .~ product_distribution([InverseGamma(2, 3) for _ in 1:d])
s_vec = vec(s)
m ~ MvNormal(zeros(n), Diagonal(s_vec))
# Dotted observe for `Matrix`.
x .~ MvNormal(m, Diagonal(s_vec))
return (; s=s, m=m, x=x, logp=getlogp(__varinfo__))
end
function logprior_true(
model::Model{typeof(demo_dot_assume_matrix_dot_observe_matrix)}, s, m
)
n = length(model.args.x)
s_vec = vec(s)
return loglikelihood(InverseGamma(2, 3), s_vec) +
logpdf(MvNormal(zeros(n), Diagonal(s_vec)), m)
end
function loglikelihood_true(
model::Model{typeof(demo_dot_assume_matrix_dot_observe_matrix)}, s, m
)
return loglikelihood(MvNormal(m, Diagonal(vec(s))), model.args.x)
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_dot_assume_matrix_dot_observe_matrix)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_dot_assume_matrix_dot_observe_matrix)})
return [@varname(s[:, 1]), @varname(s[:, 2]), @varname(m)]
end
@model function demo_assume_matrix_dot_observe_matrix(
x=transpose([1.5 2.0;]), ::Type{TV}=Array{Float64}
) where {TV}
n = length(x)
d = n ÷ 2
s ~ reshape(product_distribution(fill(InverseGamma(2, 3), n)), d, 2)
s_vec = vec(s)
m ~ MvNormal(zeros(n), Diagonal(s_vec))
# Dotted observe for `Matrix`.
x .~ MvNormal(m, Diagonal(s_vec))
return (; s=s, m=m, x=x, logp=getlogp(__varinfo__))
end
function logprior_true(model::Model{typeof(demo_assume_matrix_dot_observe_matrix)}, s, m)
n = length(model.args.x)
s_vec = vec(s)
return loglikelihood(InverseGamma(2, 3), s_vec) +
logpdf(MvNormal(zeros(n), Diagonal(s_vec)), m)
end
function loglikelihood_true(
model::Model{typeof(demo_assume_matrix_dot_observe_matrix)}, s, m
)
return loglikelihood(MvNormal(m, Diagonal(vec(s))), model.args.x)
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_assume_matrix_dot_observe_matrix)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
function varnames(model::Model{typeof(demo_assume_matrix_dot_observe_matrix)})
return [@varname(s), @varname(m)]
end
function Random.rand(
rng::Random.AbstractRNG,
::Type{NamedTuple},
model::Model{typeof(demo_assume_matrix_dot_observe_matrix)},
)
n = length(model.args.x)
s = reshape(rand(rng, InverseGamma(2, 3), n), n ÷ 2, 2)
s_vec = vec(s)
m = rand(rng, MvNormal(zeros(n), Diagonal(s_vec)))
return (s=s, m=m)
end
const DemoModels = Union{
Model{typeof(demo_dot_assume_dot_observe)},
Model{typeof(demo_assume_index_observe)},
Model{typeof(demo_assume_multivariate_observe)},
Model{typeof(demo_dot_assume_observe_index)},
Model{typeof(demo_assume_dot_observe)},
Model{typeof(demo_assume_literal_dot_observe)},
Model{typeof(demo_assume_observe_literal)},
Model{typeof(demo_dot_assume_observe_index_literal)},
Model{typeof(demo_assume_submodel_observe_index_literal)},
Model{typeof(demo_dot_assume_observe_submodel)},
Model{typeof(demo_dot_assume_dot_observe_matrix)},
Model{typeof(demo_dot_assume_matrix_dot_observe_matrix)},
Model{typeof(demo_assume_matrix_dot_observe_matrix)},
}
# We require demo models to have explict impleentations of `rand` since we want
# these to be considered as ground truth.
function Random.rand(rng::Random.AbstractRNG, ::Type{NamedTuple}, model::DemoModels)
return error("demo models requires explicit implementation of rand")
end
const UnivariateAssumeDemoModels = Union{
Model{typeof(demo_assume_dot_observe)},Model{typeof(demo_assume_literal_dot_observe)}
}
function posterior_mean(model::UnivariateAssumeDemoModels)
return (s=49 / 24, m=7 / 6)
end
function Random.rand(
rng::Random.AbstractRNG, ::Type{NamedTuple}, model::UnivariateAssumeDemoModels
)
s = rand(rng, InverseGamma(2, 3))
m = rand(rng, Normal(0, sqrt(s)))
return (s=s, m=m)
end
const MultivariateAssumeDemoModels = Union{
Model{typeof(demo_dot_assume_dot_observe)},
Model{typeof(demo_assume_index_observe)},
Model{typeof(demo_assume_multivariate_observe)},
Model{typeof(demo_dot_assume_observe_index)},
Model{typeof(demo_assume_observe_literal)},
Model{typeof(demo_dot_assume_observe_index_literal)},
Model{typeof(demo_assume_submodel_observe_index_literal)},
Model{typeof(demo_dot_assume_observe_submodel)},
Model{typeof(demo_dot_assume_dot_observe_matrix)},
Model{typeof(demo_dot_assume_matrix_dot_observe_matrix)},
}
function posterior_mean(model::MultivariateAssumeDemoModels)
# Get some containers to fill.
vals = Random.rand(model)
vals.s[1] = 19 / 8
vals.m[1] = 3 / 4
vals.s[2] = 8 / 3
vals.m[2] = 1
return vals
end
function Random.rand(
rng::Random.AbstractRNG, ::Type{NamedTuple}, model::MultivariateAssumeDemoModels
)
# Get template values from `model`.
retval = model(rng)
vals = (s=retval.s, m=retval.m)
# Fill containers with realizations from prior.
for i in LinearIndices(vals.s)
vals.s[i] = rand(rng, InverseGamma(2, 3))
vals.m[i] = rand(rng, Normal(0, sqrt(vals.s[i])))
end
return vals
end
const MatrixvariateAssumeDemoModels = Union{
Model{typeof(demo_assume_matrix_dot_observe_matrix)}
}
function posterior_mean(model::MatrixvariateAssumeDemoModels)
# Get some containers to fill.
vals = Random.rand(model)
vals.s[1, 1] = 19 / 8
vals.m[1] = 3 / 4
vals.s[1, 2] = 8 / 3
vals.m[2] = 1
return vals
end
function Base.rand(
rng::Random.AbstractRNG, ::Type{NamedTuple}, model::MatrixvariateAssumeDemoModels
)
# Get template values from `model`.
retval = model(rng)
vals = (s=retval.s, m=retval.m)
# Fill containers with realizations from prior.
for i in LinearIndices(vals.s)
vals.s[i] = rand(rng, InverseGamma(2, 3))
vals.m[i] = rand(rng, Normal(0, sqrt(vals.s[i])))
end
return vals
end
"""
A collection of models corresponding to the posterior distribution defined by
the generative process
s ~ InverseGamma(2, 3)
m ~ Normal(0, √s)
1.5 ~ Normal(m, √s)
2.0 ~ Normal(m, √s)
or by
s[1] ~ InverseGamma(2, 3)
s[2] ~ InverseGamma(2, 3)
m[1] ~ Normal(0, √s)
m[2] ~ Normal(0, √s)
1.5 ~ Normal(m[1], √s[1])
2.0 ~ Normal(m[2], √s[2])
These are examples of a Normal-InverseGamma conjugate prior with Normal likelihood,
for which the posterior is known in closed form.
In particular, for the univariate model (the former one):
mean(s) == 49 / 24
mean(m) == 7 / 6
And for the multivariate one (the latter one):
mean(s[1]) == 19 / 8
mean(m[1]) == 3 / 4
mean(s[2]) == 8 / 3
mean(m[2]) == 1
"""
const DEMO_MODELS = (
demo_dot_assume_dot_observe(),
demo_assume_index_observe(),
demo_assume_multivariate_observe(),
demo_dot_assume_observe_index(),
demo_assume_dot_observe(),
demo_assume_observe_literal(),
demo_dot_assume_observe_index_literal(),
demo_assume_literal_dot_observe(),
demo_assume_submodel_observe_index_literal(),
demo_dot_assume_observe_submodel(),
demo_dot_assume_dot_observe_matrix(),
demo_dot_assume_matrix_dot_observe_matrix(),
demo_assume_matrix_dot_observe_matrix(),
)
# Model to test `StaticTransformation` with.
"""
demo_static_transformation()
Simple model for which [`default_transformation`](@ref) returns a [`StaticTransformation`](@ref).
"""
@model function demo_static_transformation()
s ~ InverseGamma(2, 3)
m ~ Normal(0, sqrt(s))
1.5 ~ Normal(m, sqrt(s))
2.0 ~ Normal(m, sqrt(s))
return (; s, m, x=[1.5, 2.0], logp=getlogp(__varinfo__))
end
function DynamicPPL.default_transformation(::Model{typeof(demo_static_transformation)})
b = Bijectors.Stacked(Bijectors.elementwise(exp), identity)
return DynamicPPL.StaticTransformation(b)
end
posterior_mean(::Model{typeof(demo_static_transformation)}) = (s=49 / 24, m=7 / 6)
function logprior_true(::Model{typeof(demo_static_transformation)}, s, m)
return logpdf(InverseGamma(2, 3), s) + logpdf(Normal(0, sqrt(s)), m)
end
function loglikelihood_true(::Model{typeof(demo_static_transformation)}, s, m)
return logpdf(Normal(m, sqrt(s)), 1.5) + logpdf(Normal(m, sqrt(s)), 2.0)
end
function logprior_true_with_logabsdet_jacobian(
model::Model{typeof(demo_static_transformation)}, s, m
)
return _demo_logprior_true_with_logabsdet_jacobian(model, s, m)
end
"""
marginal_mean_of_samples(chain, varname)
Return the mean of variable represented by `varname` in `chain`.
"""
marginal_mean_of_samples(chain, varname) = mean(Array(chain[Symbol(varname)]))
"""
test_sampler(models, sampler, args...; kwargs...)
Test that `sampler` produces correct marginal posterior means on each model in `models`.
In short, this method iterates through `models`, calls `AbstractMCMC.sample` on the
`model` and `sampler` to produce a `chain`, and then checks `marginal_mean_of_samples(chain, vn)`
for every (leaf) varname `vn` against the corresponding value returned by
[`posterior_mean`](@ref) for each model.
To change how comparison is done for a particular `chain` type, one can overload
[`marginal_mean_of_samples`](@ref) for the corresponding type.
# Arguments
- `models`: A collection of instaces of [`DynamicPPL.Model`](@ref) to test on.
- `sampler`: The `AbstractMCMC.AbstractSampler` to test.
- `args...`: Arguments forwarded to `sample`.
# Keyword arguments
- `varnames_filter`: A filter to apply to `varnames(model)`, allowing comparison for only
a subset of the varnames.
- `atol=1e-1`: Absolute tolerance used in `@test`.
- `rtol=1e-3`: Relative tolerance used in `@test`.
- `kwargs...`: Keyword arguments forwarded to `sample`.
"""
function test_sampler(
models,
sampler::AbstractMCMC.AbstractSampler,
args...;
varnames_filter=Returns(true),
atol=1e-1,
rtol=1e-3,
sampler_name=typeof(sampler),
kwargs...,
)
@testset "$(sampler_name) on $(nameof(model))" for model in models
chain = AbstractMCMC.sample(model, sampler, args...; kwargs...)
target_values = posterior_mean(model)
for vn in filter(varnames_filter, varnames(model))
# We want to compare elementwise which can be achieved by
# extracting the leaves of the `VarName` and the corresponding value.
for vn_leaf in varname_leaves(vn, get(target_values, vn))
target_value = get(target_values, vn_leaf)
chain_mean_value = marginal_mean_of_samples(chain, vn_leaf)
@test chain_mean_value ≈ target_value atol = atol rtol = rtol
end
end
end
end
"""
test_sampler_on_demo_models(meanfunction, sampler, args...; kwargs...)
Test `sampler` on every model in [`DEMO_MODELS`](@ref).
This is just a proxy for `test_sampler(meanfunction, DEMO_MODELS, sampler, args...; kwargs...)`.
"""
function test_sampler_on_demo_models(
sampler::AbstractMCMC.AbstractSampler, args...; kwargs...
)
return test_sampler(DEMO_MODELS, sampler, args...; kwargs...)
end
"""
test_sampler_continuous(sampler, args...; kwargs...)
Test that `sampler` produces the correct marginal posterior means on all models in `demo_models`.
As of right now, this is just an alias for [`test_sampler_on_demo_models`](@ref).
"""
function test_sampler_continuous(sampler::AbstractMCMC.AbstractSampler, args...; kwargs...)
return test_sampler_on_demo_models(sampler, args...; kwargs...)
end
end