SMC minor improvements #3625
Merged
SMC minor improvements #3625
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Member
aloctavodia
commented
Sep 13, 2019
aloctavodia
commented
- This refactors the code using an object oriented approach, I have been trying different ideas and this approach allows easier iteration, and I hope it will make easier future improvements such as adding new kernels or diagnostic tests.
- Improve docstrings, specially for SMC-ABC
- Now each chain has it's own scaling, the initial scaling is computed based on the dimension of the model and the update rule is simpler than before. This seems to improve some models but honestly I was hoping for larger improvements. I will keep trying ideas around this.
- add test for SMC-ABC
junpenglao
approved these changes
Sep 28, 2019
| smc.setup_kernel() | ||
| smc.initialize_logp() | ||
|
|
||
| while smc.beta < 1: |
There was a problem hiding this comment.
Risk of it running forever? Maybe we should have an additional termination rule like after N iterations.
There was a problem hiding this comment.
Early stopping will return a non useful result as the samples will not be from the posterior. Thus I think is OK to let the user kill the process if it is running more than what the user can wait. One alternative will be to jump to beta=1 after N iterations, but most likely than not that will also give a poor sample
|
|
||
| if self.kernel.lower() == "abc": | ||
| warnings.warn(EXPERIMENTAL_WARNING) | ||
| simulator = self.model.observed_RVs[0] |
There was a problem hiding this comment.
Could you add an assertion here to make sure the length of observed_RVs is equal 1, otherwise throw an error?
junpenglao
approved these changes
Oct 3, 2019
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.