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Add a utility function to sample using scan #80

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rlouf opened this issue Nov 18, 2022 · 0 comments
Open

Add a utility function to sample using scan #80

rlouf opened this issue Nov 18, 2022 · 0 comments
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enhancement New feature or request good first issue Good for newcomers help wanted Extra attention is needed

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@rlouf
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rlouf commented Nov 18, 2022

Using the sampling steps built by AeMCMC in a scan loop is not straightforward:

import aesara
import aemcmc


sample_steps, sample_updates, initial_values = aemcmc.construct_sampler(
    {Y_rv: y_tt}, srng
)

to_sample_rvs: List[TensorVariable]
inputs = [initial_values[rv] for rv in to_sample_rvs]
outputs = [sample_steps[rv] for rv in to_sample_rvs]

def step_fn(*values):
    from aesara.compile.function.pfunc import rebuild_collect_shared

    vv_to_values = {inputs[i]: val for i, val in enumerate(values)}

    _, new_values, [_, new_updates, _, _] = rebuild_collect_shared(
        outputs, inputs=inputs, replace=vv_to_values, updates=sample_updates
    )

    return new_values, new_updates

n_samples = at.iscalar("n_samples")
outputs, updates = aesara.scan(step_fn, outputs_info=inputs, n_steps=n_samples)

sample_fn = aesara.function(inputs + [n_samples], outputs, updates=updates)

but easily generalizable. We should implement a utility function, e.g. aemcmc.sampling_loop which, given the outputs of construct_sampler and a number of iterations n_samples returns a graph that generate n_samples.

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Labels
enhancement New feature or request good first issue Good for newcomers help wanted Extra attention is needed
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