Feature request: Add LKJCholesky

[kar9222]

Issues

Hello, this issue is

• not only related to multi-level varying slopes with two clusters, cross classification I posted on Julia discourse Multi-level varying slopes with two clusters, cross classification
• but also related to another similar issues I found, for example
  • Tracker does not work with multilevel model · Issue #1549 · TuringLang/Turing.jl
  • (Generalized) Linear Mixed Model Tutorial · Issue #1518 · TuringLang/Turing.jl
  • How to model Covariance matrices? · Discussion #1526 · TuringLang/Turing.jl
  • and many more I found

I have spent many hours tweaking more than 10 variants of the model, reading up many Stan's docs, PyMC3's docs, and posting the issue on Julia's discourse. I believe the main issue that I, and many other people (the issues linked above) face is that the LKJ is numerically unstable. As per 24.1 LKJ Correlation Distribution | Stan Functions Reference, with reference to LKJ distribution (without cholesky factorisation),

The log of the LKJ density for the correlation matrix y given nonnegative shape eta. The only reason to use this density function is if you want the code to run slower and consume more memory with more risk of numerical errors. Use its Cholesky factor as described in the next section.
...However, it is much better computationally to work directly with the Cholesky factor of Σ, so this distribution should never be explicitly used in practice.

Me and many people in Turing have been using LKJ directly without the Cholesky decomposition, resulting in those issues. I follow some workaround in those issues, such as using Symmetric but it doesn't solve the issue for more complex models.

We need a cholesky decomposition of LKJ, something called LKJCholesky or similar names. It's implemented in Stan, PyMC3 and also Soss.jl

• Stan lkj_corr_cholesky 24.2 Cholesky LKJ Correlation Distribution | Stan Functions Reference
• PyMC3: pymc3.LKJCholeskyCov LKJ Cholesky Covariance Priors for Multivariate Normal Models — PyMC3 3.10.0 documentation
• Soss.jl LKJL (implemented in MeasureTheory.jl) cscherrer/MeasureTheory.jl

LKJ Cholesky

For example, Stan's implementation of lkj_corr_cholesky

As per 24 Correlation Matrix Distributions | Stan Functions Reference

The correlation matrix distributions have support on the (Cholesky factors of) correlation matrices. A Cholesky factor L for a K × K correlation matrix Σ of dimension K has rows of unit length so that the diagonal of L L ⊤ is the unit K -vector. Even though models are usually conceptualized in terms of correlation matrices, it is better to operationalize them in terms of their Cholesky factors.

As per 24.1 LKJ Correlation Distribution | Stan Functions Reference, with reference to LKJ distribution (without cholesky factorisation),

However, it is much better computationally to work directly with the Cholesky factor of Σ, so this distribution should never be explicitly used in practice.

As per 24.2 Cholesky LKJ Correlation Distribution | Stan Functions Reference

Stan provides an implicit parameterization of the LKJ correlation matrix density in terms of its Cholesky factor, which you should use rather than the explicit parameterization in the previous section. For example, if L is a Cholesky factor of a correlation matrix, then
L ~ lkj_corr_cholesky(2.0); # implies L * L' ~ lkj_corr(2.0);

So instead of the "raw version"

@model function gdemo(...)
    n_coef, n_cluster = 4, 7  # For example
    σ ~ filldist(Exponential(1), n_coef)
    ρ ~ LKJ(n_coef,2)
    Σ = Diagonal(σ) * ρ * Diagonal (σ)
    α ~ MvNormal(..., Σ)
    ......
end

or a slightly better version, using the codes by Seth Axen, which uses the quad_form_diag implemented in Stan

quad_form_diag(M, v) = Symmetric((v .* v') .* (M .+ M') ./ 2)

@model function gdemo(...)
    n_coef, n_cluster = 4, 7  # For example
    σ ~ filldist(Exponential(1), n_coef)
    ρ ~ LKJ(n_coef,2)

    # Use of quad_form_diag implemented in Stan
    Σ = quad_form_diag(ρ, σ)

    α ~ MvNormal(..., Σ)
    ......
end

Stan/PyMC3's version of LKJ Cholesky with reparameterisation (LKJ Cholesky can also be used without reparameterisation). For example, Stan's implementation

parameters{
    .............
    cholesky_factor_corr[4] L_Rho_block;
}
transformed parameters{
    ............
    alpha = (diag_pre_multiply(sigma_actor, L_Rho_actor) * z_actor)';
}
model{
    ...............
    L_Rho_actor ~ lkj_corr_cholesky( 2 );
}

If Turing implements LKJCholesky, it should look something like this

@model function gdemo(...)
    n_coef, n_cluster = 4, 7  # For example
    σ ~ filldist(Exponential(1), n_coef)

    # standardised prior for reparameterisation
    z_α ~ filldist(Normal(0, 1), n_coef, n_cluster)  # 4 x 7 matrix

    # Stan's Cholesky LKJ: L_Rho_actor ~ lkj_corr_cholesky( 2 );
    L_α ~ LKJCholesky(n_coef,2)

    # Stan's alpha = (diag_pre_multiply(sigma_actor, L_Rho_actor) * z_actor)';
    α = σ .* L_α * z_α # matrix 4 x 7
    ......
end

or a Soss.jl implementation, full example coded up by Seth Axen using Soss.jl

# using Pkg
# Pkg.add(["Soss", "MeasureTheory", "TuringModels", "CSV", "DataFrames", "DynamicHMC", "LogDensityProblems"])

using Soss, MeasureTheory, LinearAlgebra, Random
using Soss: TransformVariables

# work around LKJL issues, see https://github.com/cscherrer/MeasureTheory.jl/issues/100
# note that we're making LKJL behave like an LKJU
Soss.xform(d::LKJL, _data::NamedTuple=NamedTuple()) = TransformVariables.as(d);
function Base.rand(rng::AbstractRNG, ::Type, d::LKJL{k}) where {k}
    return cholesky(rand(rng, MeasureTheory.Dists.LKJ(k, d.η))).U
end

# get data
using TuringModels, CSV, DataFrames
data_path = joinpath(TuringModels.project_root, "data", "chimpanzees.csv");
df = CSV.read(data_path, DataFrame; delim=';');
df.block_id = df.block;
df.treatment = 1 .+ df.prosoc_left .+ 2 * df.condition;

# build the model
model = @model actor, block, treatment, n_treatment, n_actor, n_block begin
    σ_block ~ Exponential(1) |> iid(n_treatment)
    σ_actor ~ Exponential(1) |> iid(n_treatment)
    U_ρ_block ~ LKJL(n_treatment, 2)
    U_ρ_actor ~ LKJL(n_treatment, 2)
    g ~ Normal(0, 1) |> iid(n_treatment)
    z_block ~ Normal(0, 1) |> iid(n_treatment, n_block)
    z_actor ~ Normal(0, 1) |> iid(n_treatment, n_actor)
    β = σ_block .* (U_ρ_block' * z_block)
    α = σ_actor .* (U_ρ_actor' * z_actor)
    p = broadcast(treatment, actor, block) do t, a, b
        return @inbounds logistic(g[t] + α[t, a] + β[t, b])
    end
    pulled_left .~ Binomial.(1, p)
end

Performance

Comparing Stan's implementation and current use of LKJ in Turing, which is Parts of my issues posted here

The Stan model, sampling 4 chains, finished in about 6 seconds per chain (total = Warm-up + sampling). Summarized elapsed time

Chain 1:  Elapsed Time: 3.27789 seconds (Warm-up)
Chain 1:                2.63135 seconds (Sampling)
Chain 1:                5.90924 seconds (Total)

Chain 2:  Elapsed Time: 3.27674 seconds (Warm-up)
Chain 2:                2.77611 seconds (Sampling)
Chain 2:                6.05285 seconds (Total)

Chain 3:  Elapsed Time: 3.44 seconds (Warm-up)
Chain 3:                2.66887 seconds (Sampling)
Chain 3:                6.10887 seconds (Total)

Chain 4:  Elapsed Time: 3.4264 seconds (Warm-up)
Chain 4:                2.63844 seconds (Sampling)
Chain 4:                6.06484 seconds (Total)

Stan model

Stan code saved in “nonCentered.stan”

data{
    int L[504];
    int block_id[504];
    int actor[504];
    int tid[504];
}
parameters{
    matrix[4,7] z_actor;
    matrix[4,6] z_block;
    vector[4] g;
    cholesky_factor_corr[4] L_Rho_actor;
    cholesky_factor_corr[4] L_Rho_block;
    vector<lower=0>[4] sigma_actor;
    vector<lower=0>[4] sigma_block;
}
transformed parameters{
    matrix[7,4] alpha;
    matrix[6,4] beta;
    beta = (diag_pre_multiply(sigma_block, L_Rho_block) * z_block)';
    alpha = (diag_pre_multiply(sigma_actor, L_Rho_actor) * z_actor)';
}
model{
    vector[504] p;
    sigma_block ~ exponential( 1 );
    sigma_actor ~ exponential( 1 );
    L_Rho_block ~ lkj_corr_cholesky( 2 );
    L_Rho_actor ~ lkj_corr_cholesky( 2 );
    g ~ normal( 0 , 1 );
    to_vector( z_block ) ~ normal( 0 , 1 );
    to_vector( z_actor ) ~ normal( 0 , 1 );
    for ( i in 1:504 ) {
        p[i] = g[tid[i]] + alpha[actor[i], tid[i]] + beta[block_id[i], tid[i]];
        p[i] = inv_logit(p[i]);
    }
    L ~ binomial( 1 , p );
}
generated quantities{
    vector[504] log_lik;
    vector[504] p;
    matrix[4,4] Rho_actor;
    matrix[4,4] Rho_block;
    Rho_block = multiply_lower_tri_self_transpose(L_Rho_block);
    Rho_actor = multiply_lower_tri_self_transpose(L_Rho_actor);
    for ( i in 1:504 ) {
        p[i] = g[tid[i]] + alpha[actor[i], tid[i]] + beta[block_id[i], tid[i]];
        p[i] = inv_logit(p[i]);
    }
    for ( i in 1:504 ) log_lik[i] = binomial_lpmf( L[i] | 1 , p[i] );
}

Sampling Stan model

library(rethinking)
data(chimpanzees)
d = chimpanzees
d$block_id = d$block
d$treatment = 1L + d$prosoc_left + 2L*d$condition

dat = list(
    L = d$pulled_left,
    tid = d$treatment,
    actor = d$actor,
    block_id = as.integer(d$block_id) )

nonCentered = stan_model("nonCentered.stan")

fit = sampling(nonCentered, data = dat, seed = 803214053, control = list(adapt_delta = 0.9))



fit = sampling(nonCentered, data = dat, seed = 803214053, control = list(adapt_delta = 0.9))

SAMPLING FOR MODEL 'nonCentered' NOW (CHAIN 1).
Chain 1:
Chain 1: Gradient evaluation took 0.000133 seconds
Chain 1: 1000 transitions using 10 leapfrog steps per transition would take 1.33 seconds.
Chain 1: Adjust your expectations accordingly!
Chain 1:
Chain 1:
Chain 1: Iteration:    1 / 2000 [  0%]  (Warmup)
Chain 1: Iteration:  200 / 2000 [ 10%]  (Warmup)
Chain 1: Iteration:  400 / 2000 [ 20%]  (Warmup)
Chain 1: Iteration:  600 / 2000 [ 30%]  (Warmup)
Chain 1: Iteration:  800 / 2000 [ 40%]  (Warmup)
Chain 1: Iteration: 1000 / 2000 [ 50%]  (Warmup)
Chain 1: Iteration: 1001 / 2000 [ 50%]  (Sampling)
Chain 1: Iteration: 1200 / 2000 [ 60%]  (Sampling)
Chain 1: Iteration: 1400 / 2000 [ 70%]  (Sampling)
Chain 1: Iteration: 1600 / 2000 [ 80%]  (Sampling)
Chain 1: Iteration: 1800 / 2000 [ 90%]  (Sampling)
Chain 1: Iteration: 2000 / 2000 [100%]  (Sampling)
Chain 1:
Chain 1:  Elapsed Time: 3.27789 seconds (Warm-up)
Chain 1:                2.63135 seconds (Sampling)
Chain 1:                5.90924 seconds (Total)
Chain 1:

SAMPLING FOR MODEL 'nonCentered' NOW (CHAIN 2).
Chain 2:
Chain 2: Gradient evaluation took 9.7e-05 seconds
Chain 2: 1000 transitions using 10 leapfrog steps per transition would take 0.97 seconds.
Chain 2: Adjust your expectations accordingly!
Chain 2:
Chain 2:
Chain 2: Iteration:    1 / 2000 [  0%]  (Warmup)
Chain 2: Iteration:  200 / 2000 [ 10%]  (Warmup)
Chain 2: Iteration:  400 / 2000 [ 20%]  (Warmup)
Chain 2: Iteration:  600 / 2000 [ 30%]  (Warmup)
Chain 2: Iteration:  800 / 2000 [ 40%]  (Warmup)
Chain 2: Iteration: 1000 / 2000 [ 50%]  (Warmup)
Chain 2: Iteration: 1001 / 2000 [ 50%]  (Sampling)
Chain 2: Iteration: 1200 / 2000 [ 60%]  (Sampling)
Chain 2: Iteration: 1400 / 2000 [ 70%]  (Sampling)
Chain 2: Iteration: 1600 / 2000 [ 80%]  (Sampling)
Chain 2: Iteration: 1800 / 2000 [ 90%]  (Sampling)
Chain 2: Iteration: 2000 / 2000 [100%]  (Sampling)
Chain 2:
Chain 2:  Elapsed Time: 3.27674 seconds (Warm-up)
Chain 2:                2.77611 seconds (Sampling)
Chain 2:                6.05285 seconds (Total)
Chain 2:

SAMPLING FOR MODEL 'nonCentered' NOW (CHAIN 3).
Chain 3:
Chain 3: Gradient evaluation took 9.7e-05 seconds
Chain 3: 1000 transitions using 10 leapfrog steps per transition would take 0.97 seconds.
Chain 3: Adjust your expectations accordingly!
Chain 3:
Chain 3:
Chain 3: Iteration:    1 / 2000 [  0%]  (Warmup)
Chain 3: Iteration:  200 / 2000 [ 10%]  (Warmup)
Chain 3: Iteration:  400 / 2000 [ 20%]  (Warmup)
Chain 3: Iteration:  600 / 2000 [ 30%]  (Warmup)
Chain 3: Iteration:  800 / 2000 [ 40%]  (Warmup)
Chain 3: Iteration: 1000 / 2000 [ 50%]  (Warmup)
Chain 3: Iteration: 1001 / 2000 [ 50%]  (Sampling)
Chain 3: Iteration: 1200 / 2000 [ 60%]  (Sampling)
Chain 3: Iteration: 1400 / 2000 [ 70%]  (Sampling)
Chain 3: Iteration: 1600 / 2000 [ 80%]  (Sampling)
Chain 3: Iteration: 1800 / 2000 [ 90%]  (Sampling)
Chain 3: Iteration: 2000 / 2000 [100%]  (Sampling)
Chain 3:
Chain 3:  Elapsed Time: 3.44 seconds (Warm-up)
Chain 3:                2.66887 seconds (Sampling)
Chain 3:                6.10887 seconds (Total)
Chain 3:

SAMPLING FOR MODEL 'nonCentered' NOW (CHAIN 4).
Chain 4:
Chain 4: Gradient evaluation took 0.000111 seconds
Chain 4: 1000 transitions using 10 leapfrog steps per transition would take 1.11 seconds.
Chain 4: Adjust your expectations accordingly!
Chain 4:
Chain 4:
Chain 4: Iteration:    1 / 2000 [  0%]  (Warmup)
Chain 4: Iteration:  200 / 2000 [ 10%]  (Warmup)
Chain 4: Iteration:  400 / 2000 [ 20%]  (Warmup)
Chain 4: Iteration:  600 / 2000 [ 30%]  (Warmup)
Chain 4: Iteration:  800 / 2000 [ 40%]  (Warmup)
Chain 4: Iteration: 1000 / 2000 [ 50%]  (Warmup)
Chain 4: Iteration: 1001 / 2000 [ 50%]  (Sampling)
Chain 4: Iteration: 1200 / 2000 [ 60%]  (Sampling)
Chain 4: Iteration: 1400 / 2000 [ 70%]  (Sampling)
Chain 4: Iteration: 1600 / 2000 [ 80%]  (Sampling)
Chain 4: Iteration: 1800 / 2000 [ 90%]  (Sampling)
Chain 4: Iteration: 2000 / 2000 [100%]  (Sampling)
Chain 4:
Chain 4:  Elapsed Time: 3.4264 seconds (Warm-up)
Chain 4:                2.63844 seconds (Sampling)
Chain 4:                6.06484 seconds (Total)
Chain 4:

Turing's reference model

To implement it in Turing, I found a similar model here StatisticalRethinkingJulia/TuringModels.jl - non-centered chimpanzees.md.

using TuringModels
using LinearAlgebra

# This script requires latest LKJ bijectors support.
# `] add Bijectors#master` to get latest Bijectors.

data_path = joinpath(@__DIR__, "..", "..", "data", "chimpanzees.csv")
delim = ";"
d = CSV.read(data_path, DataFrame; delim)

d.block_id = d.block

# m13.6nc1 is equivalent to m13.6nc in following Turing model

@model m13_6_nc(actor, block_id, condition, prosoc_left, pulled_left) = begin
    # fixed priors
    Rho_block ~ LKJ(3, 4.)
    Rho_actor ~ LKJ(3, 4.)
    sigma_block ~ filldist(truncated(Cauchy(0, 2), 0, Inf), 3)
    sigma_actor ~ filldist(truncated(Cauchy(0, 2), 0, Inf), 3)
    a ~ Normal(0, 1)
    bp ~ Normal(0, 1)
    bpc ~ Normal(0, 1)

    # adaptive NON-CENTERED priors
    Rho_block = (Rho_block' + Rho_block) / 2
    Rho_actor = (Rho_actor' + Rho_actor) / 2

    L_Rho_block = cholesky(Rho_block).L
    L_Rho_actor = cholesky(Rho_actor).L

    z_N_block ~ filldist(Normal(0, 1), 3, 6)
    z_N_actor ~ filldist(Normal(0, 1), 3, 7)

    # @show size(L_Rho_block) size(sigma_block) size(z_N_block_id)

    a_block_bp_block_bpc_block = sigma_block .* L_Rho_block * z_N_block
    a_actor_bp_actor_bpc_actor = sigma_actor .* L_Rho_actor * z_N_actor

    a_block = a_block_bp_block_bpc_block[1, :]
    bp_block = a_block_bp_block_bpc_block[2, :]
    bpc_block = a_block_bp_block_bpc_block[3, :]
    a_actor = a_actor_bp_actor_bpc_actor[1, :]
    bp_actor = a_actor_bp_actor_bpc_actor[2, :]
    bpc_actor = a_actor_bp_actor_bpc_actor[3, :]

    # linear models
    BPC = bpc .+ bpc_actor[actor] + bpc_block[block_id]
    BP = bp .+ bp_actor[actor] + bp_block[block_id]
    A = a .+ a_actor[actor] + a_block[block_id]
    logit_p = A + (BP + BPC .* condition) .* prosoc_left

    # likelihood
    pulled_left .~ BinomialLogit.(1, logit_p)
end

chns = sample(
    m13_6_nc(d.actor, d.block_id, d.condition, d.prosoc_left, d.pulled_left),
    Turing.NUTS(0.95),
    1000
)

The model I implemented to replicate Stan's model above

To implement the Stan's model and when doing this, I also refer to @sethaxen 's implementation above and the model of TuringModel.jl. Again, I coded up like more than 10 variants, but same issues

using TuringModels, CSV, DataFrames, Turing, LinearAlgebra, Random, ReverseDiff, Memoization

Turing.setadbackend(:reversediff)
Turing.setrdcache(true)

data_path = joinpath(TuringModels.project_root, "data", "chimpanzees.csv");
df = CSV.read(data_path, DataFrame; delim=';');

df.block_id = df.block;
df.treatment = 1 .+ df.prosoc_left .+ 2*df.condition;

@model function nonCentered(actor, block, treatment, pulled_left)
    n_treatment, n_actor, n_block = 4, 7, 6

    # fixed priors
    g ~ MvNormal(n_treatment, 1)
    ρ_block ~ LKJ(n_treatment, 2)
    ρ_actor ~ LKJ(n_treatment, 2)
    σ_block ~ filldist(Exponential(1), n_treatment)
    σ_actor ~ filldist(Exponential(1), n_treatment)

    # adaptive NON-CENTERED priors
    # I have no idea what does these two lines do. I just copied from the model of TuringModels.jl above
    ρ_block = (ρ_block' + ρ_block) / 2
    ρ_actor = (ρ_actor' + ρ_actor) / 2

    # Cholesky factor
    L_block = cholesky(ρ_block).L
    L_actor = cholesky(ρ_actor).L

    # Standardised prior
    z_block ~ filldist(Normal(0, 1), n_treatment, n_block)
    z_actor ~ filldist(Normal(0, 1), n_treatment, n_actor)

    # Again, copied from the model of TuringModels.jl above
    β = σ_block .* L_block * z_block # matrix 4 x 6
    α = σ_actor .* L_actor * z_actor # matrix 4 x 7

    # Use the code from @sethaxen
    logit_p = broadcast(treatment, actor, block) do t, a, b
        return @inbounds g[t] + α[t,a] + β[t,b]
    end
    pulled_left .~ BinomialLogit.(1, logit_p)
end

rng = MersenneTwister(3702)
@time chns = sample(
    rng,
    nonCentered(df.actor, df.block_id, df.treatment, df.pulled_left),
    NUTS(),  # Use Turing's default settings
    1_000
);

julia> @time chns = sample(
           rng,
           nonCentered(df.actor, df.block_id, df.treatment, df.pulled_left),
           NUTS(),  # Use Turing's default settings
           1_000
       );
┌ Info: Found initial step size
└   ϵ = 0.2
┌ Warning: The current proposal will be rejected due to numerical error(s).
│   isfinite.((θ, r, ℓπ, ℓκ)) = (true, false, false, false)
└ @ AdvancedHMC ~/.julia/packages/AdvancedHMC/MIxdK/src/hamiltonian.jl:47
┌ Warning: The current proposal will be rejected due to numerical error(s).
│   isfinite.((θ, r, ℓπ, ℓκ)) = (true, false, false, false)
└ @ AdvancedHMC ~/.julia/packages/AdvancedHMC/MIxdK/src/hamiltonian.jl:47
Sampling 100%|██████████████████████████████████| Time: 0:01:30
ERROR: DomainError with -5.831779503751022e-11:
sqrt will only return a complex result if called with a complex argument. Try sqrt(Complex(x)).
Stacktrace:
  [1] sqrt
    @ ./math.jl:582 [inlined]
  [2] sqrt
    @ ~/.julia/packages/ForwardDiff/QOqCN/src/dual.jl:203 [inlined]
  [3] derivative!
    @ ~/.julia/packages/ForwardDiff/QOqCN/src/derivative.jl:46 [inlined]
  [4] unary_scalar_forward_exec!(f::typeof(sqrt), output::ReverseDiff.TrackedReal{Float64, Float64, Nothing}, input::ReverseDiff.TrackedReal{Float64, Float64, Nothing}, cache::Base.RefValue{Float64})
    @ ReverseDiff ~/.julia/packages/ReverseDiff/E4Tzn/src/derivatives/scalars.jl:91
  [5] scalar_forward_exec!(instruction::ReverseDiff.ScalarInstruction{typeof(sqrt), ReverseDiff.TrackedReal{Float64, Float64, Nothing}, ReverseDiff.TrackedReal{Float64, Float64, Nothing}, Base.RefValue{Float64}})
    @ ReverseDiff ~/.julia/packages/ReverseDiff/E4Tzn/src/derivatives/scalars.jl:81
  [6] forward_exec!(instruction::ReverseDiff.ScalarInstruction{typeof(sqrt), ReverseDiff.TrackedReal{Float64, Float64, Nothing}, ReverseDiff.TrackedReal{Float64, Float64, Nothing}, Base.RefValue{Float64}})
    @ ReverseDiff ~/.julia/packages/ReverseDiff/E4Tzn/src/tape.jl:82
  [7] ForwardExecutor
    @ ~/.julia/packages/ReverseDiff/E4Tzn/src/api/tape.jl:76 [inlined]
  [8] (::FunctionWrappers.CallWrapper{Nothing})(f::ReverseDiff.ForwardExecutor{ReverseDiff.ScalarInstruction{typeof(sqrt), ReverseDiff.TrackedReal{Float64, Float64, Nothing}, ReverseDiff.TrackedReal{Float64, Float64, Nothing}, Base.RefValue{Float64}}})
    @ FunctionWrappers ~/.julia/packages/FunctionWrappers/8xdVB/src/FunctionWrappers.jl:58
  [9] macro expansion
    @ ~/.julia/packages/FunctionWrappers/8xdVB/src/FunctionWrappers.jl:130 [inlined]
 [10] do_ccall
    @ ~/.julia/packages/FunctionWrappers/8xdVB/src/FunctionWrappers.jl:118 [inlined]
 [11] FunctionWrapper
    @ ~/.julia/packages/FunctionWrappers/8xdVB/src/FunctionWrappers.jl:137 [inlined]
 [12] forward_pass!(compiled_tape::ReverseDiff.CompiledTape{ReverseDiff.GradientTape{Turing.Core.var"#f#26"{DynamicPPL.TypedVarInfo{NamedTuple{(:g, :ρ_block, :ρ_actor, :σ_block, :σ_actor, :z_block, :z_actor), Tuple{DynamicPPL.Metadata{Dict{AbstractPPL.VarName{:g, Tuple{}}, Int64}, Vector{

I am looking into defining a custom distribution in Turing as per Advanced Usage - How to Define a Customized Distribution, with references to Stan's implementation of lkj_corr_cholesky, I found these

stan-dev/math - lkj_corr_cholesky_log.hpp

stan-dev/math - lkj_corr_cholesky_rng.hpp

stan-dev/math - lkj_corr_cholesky_lpdf.hpp

But everything is written in C/Cpp which I have not learned at all. Seems like I am stucked.

An implementation of LKJCholesky in Turing would help solve many of the issues. With that implementation, I can help writing a tutorial for Turing at Tutorials. It's one of the commonly used distribution for modeling covariance matrix in mutlivariate Gaussian. It seems like many Turing users are using LKJ directly. It's also a good practice to let other Turing and Julia PPL users know that LKJCholesky is a much better version, as quoted by Stan, with reference to LKJ (without cholesky factorisation)

The only reason to use this density function is if you want the code to run slower and consume more memory with more risk of numerical errors. Use its Cholesky factor as described in the next section.

[devmotion]

There is already a related open issue in Bijectors: TuringLang/Bijectors.jl#134 (comment)

[sethaxen]

I think this is somewhat more involved than the suggestion in TuringLang/Bijectors.jl#134 (comment). I do not think it can be resolved only by changing/adding a bijector. It seems we are missing 3 things:

• a distribution (e.g. LKJCholesky(d, η) whose support is a (say, lower triangular) Cholesky factor L of a correlation matrix such that L*L' ~ LKJ(d, η), ideally contributed to Distributions.jl.
• an associated bijector to Bijectors.jl, ideally to a vector, as proposed in the linked issue, though I'm not certain Bijectors currently supports inputs and outputs having different sizes and dimensions.
• A new PDMats.AbstractPDMat subtype in PDMats.jl that takes a cholesky factor of a correlation matrix and a vector of standard deviations, say, PDCholMat, for MvNormal. Potentially also a convenience constructor for MvNormal so the user does not need to explicitly load PDMats.

This would enable a user to do something like

using Turing, PDMats

@model function gdemo(y, N = length(y))
    L ~ LKJCholesky(N, 2)
    σ ~ filldist(truncated(Normal(), 0, Inf), N)
    y ~ MvNormal(PDCholMat(L, σ))
end

[devmotion]

I think this is somewhat more involved than the suggestion in TuringLang/Bijectors.jl#134 (comment).

Sure, it requires the LKJCholesky distribution and the bijector, and support for Cholesky factors in whatever distribution you want to use the samples.

The quick comment was merely to point out that this has been discussed (also in some of the linked issues IIRC) and would require also a specific bijector.

Probably it would also require a more general variable structure (VarInfo) in DynamicPPL/AbstractPPL since IIRC currently it can only deal with vectors, matrices, etc. as samples (so "standard" arrays) and both DynamicPPL and Bijectors require that constrained and unconstrained samples are of the same length and even of the same type (Bijectors at least). The last restriction might be removed in the refactoring of Bijectors that @torfjelde is working on.

[sethaxen]

Okay, well in the meantime, I'll try to push things along on the Distributions side so when the DynamicPPL/Bijectors is finished, it's ready to use.

[torfjelde]

Probably it would also require a more general variable structure (VarInfo) in DynamicPPL/AbstractPPL since IIRC currently it can only deal with vectors, matrices, etc. as samples (so "standard" arrays) and both DynamicPPL and Bijectors require that constrained and unconstrained samples are of the same length and even of the same type (Bijectors at least). The last restriction might be removed in the refactoring of Bijectors that @torfjelde is working on.

Yep, I'm working on this as we speak. Also, just to clear the record here, we don't require that the input and output are the same, but yeah strange things can possibly happen if you start breaking this assumption in compositions, batches, etc.

[ParadaCarleton]

It might be a good idea to check on MeasureTheory.jl about this. Since it's optimized to work specifically with PPLs, it might have some version of this already in place.

[devmotion]

It's mentioned in the OP, together with a link to JuliaMath/MeasureTheory.jl#100.

[sethaxen]

In JuliaStats/Distributions.jl#1336 we're discussing possibly defining an LKJCholesky distribution whose support are objects of type Cholesky. Would this be problematic for Turing? I'm wondering e.g. how samples would be stored in MCMCChains. Does Turing have a way to handle non-scalar/array parameters now?

[devmotion]

No, it's not natively supported but I would prefer samples of type Cholesky nevertheless. I guess we can always fall back to storing the full matrix or some other linearization and treat LKJCholesky in a special way with a custom linearization and reconstruction functionality (https://github.com/TuringLang/DynamicPPL.jl/blob/2fa9258d9e159859e11dac1a0aab97d1035b63e1/src/utils.jl#L88 and https://github.com/TuringLang/DynamicPPL.jl/blob/2fa9258d9e159859e11dac1a0aab97d1035b63e1/src/utils.jl#L98-L100). And hopefully support for non-scalar/array parameters will improve (TuringLang/DynamicPPL.jl#107).

[sethaxen]

I created JuliaStats/PDMats.jl#132 to discuss modifications to PDMats for easy creation of a PDMat from a Cholesky factor of a correlation matrix and a vector of standard deviations.

[mschauer]

JuliaStats/Distributions.jl#1339 was just merged

[devmotion]

Oh I missed that this was not the ossue in Distributions. I'll reopen 😄