ATMCMC2 #1569

hvasbath · 2016-12-01T15:30:34Z

finally, updated ATMCMC

includes test and example

springcoil

Looks good to me. Can you fix that merge conflict? Needs a rebase

twiecki · 2016-12-01T20:31:20Z

pymc3/examples/ATMCMC_2gaussians.py

+    return x[(n_steps - 1)::n_steps]
+
+
+def two_gaussians(x):


I think you can use the new NormalMixture here.

I tried it just now, but I cannot get it running. Could please someone update the help of the shape of the arrays that are expected? My two mu1 and mu2 are shape (1 x n) how is the total mu matrix expected to be? 2 x n? 1 x 2*n? How are the weights and taus expected?

e.g.:

pm.NormalMixture('mixture', w=np.array([.8, .2]), mu=np.array([-3., 5.]), sd=np.array([1., 1.]))

Do you insist on using that? ;)

Is it not working?

hvasbath · 2016-12-02T18:44:57Z

Did the rebase ...

hvasbath · 2016-12-02T18:57:30Z

How can I start the test the way Travis does? To test if it is running?

Did manually:
nosetests --with-coverage test_atmcmc.py

Was working and showed:
Ran 1 test in 64.455s

Ok Travis is now crashing because per default no cPickle - shall I use only Pickle? Will be slower ...
I thought cPickle is almost a system package meanwhile? Was using 6 different machines lately and didnt have to install it extra.

twiecki · 2016-12-09T08:38:52Z

======================================================================
ERROR: Failure: ImportError (No module named 'cPickle')
----------------------------------------------------------------------
Traceback (most recent call last):
  File "/home/travis/minconda3/envs/testenv/lib/python3.5/site-packages/nose/failure.py", line 39, in runTest
    raise self.exc_val.with_traceback(self.tb)
  File "/home/travis/minconda3/envs/testenv/lib/python3.5/site-packages/nose/loader.py", line 418, in loadTestsFromName
    addr.filename, addr.module)
  File "/home/travis/minconda3/envs/testenv/lib/python3.5/site-packages/nose/importer.py", line 47, in importFromPath
    return self.importFromDir(dir_path, fqname)
  File "/home/travis/minconda3/envs/testenv/lib/python3.5/site-packages/nose/importer.py", line 94, in importFromDir
    mod = load_module(part_fqname, fh, filename, desc)
  File "/home/travis/minconda3/envs/testenv/lib/python3.5/imp.py", line 244, in load_module
    return load_package(name, filename)
  File "/home/travis/minconda3/envs/testenv/lib/python3.5/imp.py", line 216, in load_package
    return _load(spec)
  File "<frozen importlib._bootstrap>", line 693, in _load
  File "<frozen importlib._bootstrap>", line 673, in _load_unlocked
  File "<frozen importlib._bootstrap_external>", line 665, in exec_module
  File "<frozen importlib._bootstrap>", line 222, in _call_with_frames_removed
  File "/home/travis/build/pymc-devs/pymc3/pymc3/__init__.py", line 8, in <module>
    from .sampling import *
  File "/home/travis/build/pymc-devs/pymc3/pymc3/sampling.py", line 11, in <module>
    from .step_methods import (NUTS, HamiltonianMC, Metropolis, BinaryMetropolis,
  File "/home/travis/build/pymc-devs/pymc3/pymc3/step_methods/__init__.py", line 21, in <module>
    from .atmcmc import ATMCMC
  File "/home/travis/build/pymc-devs/pymc3/pymc3/step_methods/atmcmc.py", line 32, in <module>
    from ..backends import atmcmc_text as atext
  File "/home/travis/build/pymc-devs/pymc3/pymc3/backends/atmcmc_text.py", line 22, in <module>
    import cPickle as pickle
ImportError: No module named 'cPickle'

@hvasbath Seems like tests are still failing.

hvasbath · 2016-12-09T19:26:58Z

If you would be so kind to answer my questions I could fix the test ;) .

springcoil · 2016-12-10T15:24:53Z

You could try running this with Docker - that'll replicate running the tests with travis.

hvasbath · 2016-12-10T18:38:42Z

Maybe I wasnt clear. I can run the test no problem.
My question is if I should downgrade to Pickle instead of using cPickle? Because, definitely everyone has Pickle.
Or do you have to change something in the Travis setup that it has cPickle as well?

...just changed it to pickle

hvasbath · 2016-12-10T18:56:37Z

Damn now no Queue module ... I need courses in python 3 ...

hvasbath · 2016-12-10T20:06:55Z

Uff I have no clue why this is failing there. If I run it locally with nose its working. Guess will have to try this docker thing ... but next week I will have to prepare for an interview so can be that this will take some time until I find the time ...

ferrine · 2016-12-10T20:09:13Z

@hvasbath do you use conda or pure python?

ColCarroll · 2016-12-10T23:17:40Z

Wait, this is pretty strange -- looks like your tests are failing because of some python3 things that changed from python2. For example, cPickle as renamed to just pickle in python3 because there weren't good reasons to keep using the old pickle library.

What is extra confusing is that the python2 tests are failing as well: in this stack I see

$ python --version
Python 2.7.12

but then the stack trace looks like it is using python3.5

  File "/home/travis/minconda3/envs/testenv/lib/python3.5/site-packages/nose/failure.py", line 39, in runTest
    raise self.exc_val.with_traceback(self.tb)

ColCarroll · 2016-12-10T23:18:44Z

In particular, it may be that the setup script is no longer grabbing the python version from the environment correctly. I will take care of that, then at least half your tests will pass!

hvasbath · 2016-12-11T06:42:38Z

I am using pure python 2.7. no conda.

hvasbath · 2016-12-11T09:14:06Z

Ok 2.7 passing, so thats clearly a python 3 related thing. Anyone any comment? Where it fails- it creates a list of booleans to hand to the sampling to determine whether to show the progressbar or not.
Somehow creating this list does not work as intended. line. 794-801 in atmcmc.py. I really have no clue. Sorry for that!

ColCarroll

Looks like a really good contribution! Still not sure where that IndexError on travis is coming from -- let me know if you're out of time and I can run the tests locally to figure it out.

More generally, I'm most worried about the large functions being hard for anyone except you to refactor/maintain/test. On the other hand, it will not break any existing stuffYou did a good job keeping it all decoupled enough from everything else I think it is ok being merged. I suspect we could then work on sharing some of this machinery with the rest of the library so it is a little more manageable and well tested.

ColCarroll · 2016-12-11T14:35:18Z

pymc3/tests/test_atmcmc.py

+
+    def setUp(self):
+        super(TestATMCMC, self).setUp()
+        self.test_folder = mkdtemp(prefix='ATMIP_TEST')


should have a matching tearDown method that deletes the test_folder.

ColCarroll · 2016-12-11T14:39:48Z

pymc3/step_methods/atmcmc.py

+        Containing all the information that is unique for each Markov Chain
+        i.e. [:class:'ATMCMC', chain_number(int),
+        sampling index(int), start_point(dictionary)]
+


need a doc for pshared

ColCarroll · 2016-12-11T14:41:12Z

pymc3/step_methods/atmcmc.py

+
+    pm._log.info('Sampling ...')
+
+    pshared = dict(


Looks like this could be a namedtuple, so you can make sure all the fields are filled in.

will have to look into that. I didnt know that that exists ;)

you can put whatever is meant not to be forked, so this differs for each function that is supposed to be parallelised, so if I understood correct this wont work with a named tuple ...

ColCarroll · 2016-12-11T14:42:39Z

pymc3/step_methods/atmcmc.py

+    work = [(step, chain, idx, step.population[step.resampling_indexes[chain]])
+             for chain, idx in zip(chains, idxs)]
+
+    for chain in tqdm(atext.parimap(


underscore indicates that you aren't using the variable (for _ in tqdm(...))

ColCarroll · 2016-12-11T14:44:37Z

pymc3/step_methods/atmcmc.py

+        step.n_chains / n_jobs has to be an integer number!
+    tune : int
+        Number of iterations to tune, if applicable (defaults to None)
+    trace : string


could this just be called homepath?

yes! will do!

ColCarroll · 2016-12-11T14:48:03Z

pymc3/blocking.py

+
+        return a_list
+
+    def srmap(self, tarray):


is this used anywhere?

it is used in some of my models. As I converted the code from the beat package to here, I missed to remove that. I will kill it.

ColCarroll · 2016-12-11T14:48:20Z

pymc3/blocking.py

+            array[slc] = list_arrays[list_ind].ravel()
+        return array
+
+    def f3map(self, list_arrays):


is this used anywhere?

will kill as well ..

ColCarroll · 2016-12-11T14:58:47Z

pymc3/backends/atmcmc_text.py

+    More efficient Queueing compared to Pool in multiprocessing.
+    Adapted from the pyrocko package. http://www.pyrocko.org
+    """
+    assert all(


assertions can be turned off when a library is run -- you might be better off manually raising an AssertionError or TypeError (or custom error!) instead.

hvasbath · 2016-12-12T07:09:23Z

Thanks a lot @ColCarroll for all the comments! And I am happy that you like it. It took a good part of my last year to put that together, so I would be very happy if it becomes more useful.
Unfortunatley, I wont have time to work on your comments until next year I guess, as I have to prepare for an interview and then is christmas ... Maybe some evening...
Yes @twiecki and I have been discussing quite some time about that being seperate from the core code and how to integrate it more, but that will evolve naturally prbably. Yes, I totally agree there need to be much more tests, but so far I had no time to implement them. I am however constantly running it with models on my computer so it is defenitely tested. Just not in a suite. If you have ideas or notice particular things of how to design a test I am happy to take the your suggestions!

twiecki · 2016-12-12T08:10:39Z

Need to rebase after #1592.

hvasbath · 2016-12-14T16:51:52Z

@twiecki or someone else can you please post the github command line, I am still not so familiar with many of the functions...

twiecki · 2016-12-15T13:03:55Z

@hvasbath http://stackoverflow.com/questions/7244321/how-do-i-update-a-github-forked-repository (in the last line you would need to do that from your PR branch instead of master).

twiecki · 2016-12-19T19:06:02Z

@hvasbath Any luck?

springcoil · 2017-01-21T12:59:27Z

@hvasbath Any luck on updating this. I think all you have to do is follow the instructions that Thomas directed you to.

hvasbath · 2017-01-21T17:27:06Z

Sorry guys for being so inactive here- was swamped with my main job. Will look into incoorporating things right now ...

twiecki · 2017-01-21T17:41:05Z

Can you also look at #1689?

hvasbath · 2017-01-21T18:11:33Z

Did that @twiecki . However, I wont have time to read the paper. I dont know about emcee so far. Looks like this would create an additional dependency emcee, which I am personally not a big fan of. So I would support @fonnesbeck s comment.
Do you want me to look at something in particular?

twiecki · 2017-01-21T18:39:26Z

I mean more in terms of implementation. Seems like you both implemented a backend for particle samplers.

…

On Jan 21, 2017 7:11 PM, "Hannes Vasyura-Bathke" ***@***.***> wrote: Did that. However, I wont have time to read the paper. I dont know about emcee so far. Looks like this would create an additional dependency emcee, which I am personally not a big fan of. So I would support @fonnesbeck <https://github.com/fonnesbeck> s comment. Do you want me to look at something in particular? — You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub <#1569 (comment)>, or mute the thread <https://github.com/notifications/unsubscribe-auth/AApJmG481w2JH9jYHl_-zrU5-6jIKU5Bks5rUkpWgaJpZM4LBhuN> .

hvasbath · 2017-01-21T19:37:58Z

Yes in terms of backend it seems quite elegant! However, it is only a numpy array backend and keeps everything in memory. I wonder how feasible that is if the chains get long with many variables? But again this is rather related to the algorithm-maybe it doesnt need to run a long time?

In terms of using it for ATMCMC I think it is not straight forward, as it still relies as well on rerunning the theano logp model function (iter_fn). Which is fine if you only want to record the input variables. But in ATMCMC we need to safe the model likelihoods to evaluate the coefficient of variation in the transition step, which would result in recalculating the model twice.

Conflicts: pymc3/backends/atmcmc_text.py pymc3/blocking.py pymc3/examples/ATMCMC_2gaussians.py pymc3/step_methods/__init__.py pymc3/step_methods/atmcmc.py pymc3/tests/test_atmcmc.py

hvasbath · 2017-01-21T20:42:40Z

If the python3 version still fails I am going to need help that someone executes it as @ColCarroll suggested ;)
It works locally on my python2.7 version run with nosetest.

hvasbath · 2017-01-22T07:35:45Z

As expected so I am going to need help here. The python 2 test is running through ...

======================================================================

ERROR: test_sample (pymc3.tests.test_atmcmc.TestATMCMC)

Traceback (most recent call last):

File "/home/travis/build/pymc-devs/pymc3/pymc3/tests/test_atmcmc.py", line 72, in test_sample

rm_flag=False)

File "/home/travis/build/pymc-devs/pymc3/pymc3/step_methods/atmcmc.py", line 635, in ATMIP_sample

_iter_parallel_chains(**sample_args)

File "/home/travis/build/pymc-devs/pymc3/pymc3/step_methods/atmcmc.py", line 820, in _iter_parallel_chains

total=len(chains)):

File "/home/travis/miniconda3/envs/testenv/lib/python3.6/site-packages/tqdm/_tqdm.py", line 830, in iter

for obj in iterable:

File "/home/travis/build/pymc-devs/pymc3/pymc3/backends/atmcmc_text.py", line 107, in parimap

yield function(*args, **kwargs)

File "/home/travis/build/pymc-devs/pymc3/pymc3/step_methods/atmcmc.py", line 766, in work_chain

progressbar = progressbars[idx]

IndexError: list index out of range

-------------------- >> begin captured logging << --------------------

pymc3: INFO: Init new trace!

pymc3: INFO: Sample initial stage: ...

pymc3: INFO: Beta: 0.000000 Stage: 0

pymc3: INFO: Initialising chain traces ...

pymc3: INFO: Sampling ...

--------------------- >> end captured logging << ---------------------

hvasbath · 2017-02-27T20:08:01Z

Finally, I found a reference that you statisticians @twiecki @ColCarroll might know better. The algorithm here is actually a sequential monte carlo algorithm. DelMoral et al. 2006 Sequential Monte Carlo Samplers J. R. Statist. Soc. B. I guess I will rename it this way...

springcoil · 2017-03-20T08:01:46Z

I'm all for you renaming this to Sequential Monte Carlo. Is there anything you need help with to get this merged?

hvasbath · 2017-03-20T09:20:32Z

Created a new PR here:
#1923

springcoil reviewed Dec 1, 2016

View reviewed changes

twiecki reviewed Dec 1, 2016

View reviewed changes

hvasbath added 2 commits December 2, 2016 20:42

adapted ATMCMC for pymc3 included example

3176e3d

added test renamed example, adapted pymc3 logging ...

852b340

hvasbath force-pushed the ATMCMC2 branch from 6793178 to 852b340 Compare December 2, 2016 18:43

hvasbath added 2 commits December 2, 2016 22:23

fixed test

e0975af

python 3 compatibility

78cff3f

twiecki mentioned this pull request Dec 9, 2016

multichain/ DREAM samplers in pymc3 #585

Closed

use pickle instead of cPickle

573102a

Queue import

107d1b1

ColCarroll mentioned this pull request Dec 11, 2016

Actually build on miniconda with python2.7 #1592

Merged

fixes in chain indexes, tolerance in test

349b040

ColCarroll reviewed Dec 11, 2016

View reviewed changes

twiecki mentioned this pull request Jan 21, 2017

Particle samplers and traces for Emcee #1689

Closed

Merge branch 'master' into ATMCMC2

7460b09

hvasbath added 12 commits January 21, 2017 23:16

rebase conflict

208b9ca

added test renamed example, adapted pymc3 logging ...

18d4f64

fixed test

00c6e14

python 3 compatibility

d626d96

use pickle instead of cPickle

3d840c2

Queue import

0be2aea

fixes in chain indexes, tolerance in test

f91a034

WIP included comments tbc ...

0b66b9e

included rest of comments, parimap assertion handling

eb9ea72

Merge branch 'ATMCMC2' of https://github.com/hvasbath/pymc3 into ATMCMC2

099165c

Conflicts: pymc3/backends/atmcmc_text.py pymc3/blocking.py pymc3/examples/ATMCMC_2gaussians.py pymc3/step_methods/__init__.py pymc3/step_methods/atmcmc.py pymc3/tests/test_atmcmc.py

rebase fixes

74c1e0c

small fix

b671435

springcoil mentioned this pull request Mar 20, 2017

Adaptive Transitional Markov Chain Monte Carlo #1031

Closed

hvasbath mentioned this pull request Mar 20, 2017

SMC #1923

Closed

hvasbath closed this Mar 20, 2017

ATMCMC2 #1569

ATMCMC2 #1569

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hvasbath commented Dec 1, 2016

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hvasbath commented Dec 12, 2016

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