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Feature/bbvb #1421

Merged
merged 180 commits into from
Jul 1, 2015
Merged

Feature/bbvb #1421

merged 180 commits into from
Jul 1, 2015

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akucukelbir
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Summary:

Automatic Differentiation Variational Inference (ADVI).

Intended Effect:

Implements ADVI as an approximate inference procedure within Stan.

How to Verify:

Run your favorite model. Run the tests.

$ ./runTests.py src/test/unit/variational

Side Effects:

Currently, we only output the mean of the variational approximation. We might want to implement a "sample, transform, report" module for ADVI and other future inference techniques.

Documentation:

  • write documentation in cmdstan manual
  • write documentation in stan manual

betanalpha and others added 30 commits April 5, 2014 17:03
@betanalpha
VB Organization
eb24ccb
@betanalpha
Quick tweak
78f094f
Merge branch 'develop' of https://github.com/stan-dev/stan into featu…
eb0c2dd 
…re/bbvb
played with jacobians, testing commit&sync
028d693
testing authorization
6b3f9b6
@akucukelbir
Testing commit to /feature/bbvb/ from stan submodule in cmdstan
dace5d9
@akucukelbir
Testing ssh auth
cb30bf5
@akucukelbir
Merge branch 'develop' into feature/bbvb
476d5a5
@akucukelbir
created bbvb and latent variables classes
02f2260 
also implemented the standardization of the
location scale family (likely Normal at first)
via an affine transformation
@akucukelbir
implemented ELBO computation
394bd01
@akucukelbir
Merge branch 'develop' of github.com:stan-dev/stan into feature/bbvb
84ac44d
@betanalpha
Style updates plus a few functional updates
dd4373d
@akucukelbir
fixed small typo in static_cast
642f83b
@akucukelbir
Merge branch 'feature/bbvb_tweak' into feature/bbvb
cdd7110
@akucukelbir
log det calculation in ELBO optimized
08393e9
@akucukelbir
started writing/tracking unit tests, checked ELBO
e8216b0
@akucukelbir
Merge branch 'develop' of github.com:stan-dev/stan into feature/bbvb
9c0f581
@akucukelbir
wrote first ELBO unit test that depends on model
12627e6
@akucukelbir
ELBO test with constraints
64fef6a
@akucukelbir
added enough ELBO unit tests, for now
f9329b4
@akucukelbir
small typo in analytic ELBO computation in test
d3ed9a0
@akucukelbir
gradient on mu working for un-transformed case
cf9f36c
@akucukelbir
preliminary version of bbVB implemented
c8e4e9d
@akucukelbir
tweaks to bbvb algorithm
c4a0a16
@akucukelbir
hacked some output functionality
264b60c
@akucukelbir
Merge branch 'develop' of github.com:stan-dev/stan into feature/bbvb
1abef4e
@akucukelbir
initial version of ADAgrad implemented
b2e479a
@akucukelbir
Merge branch 'develop' of github.com:stan-dev/stan into feature/bbvb
362444f 
Conflicts:
	src/stan/common/command.hpp
@akucukelbir
compartmentalized robbins-monro
c12658f
@akucukelbir
will begin convergence investigation
f2ce8b3
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Build Log
last 20 lines

[...truncated 15 lines...]
 > /usr/local/git/bin/git rev-list b93ced6891aaff3409d52f38bb8db955b03c5e9f # timeout=10
Starting build job Stan Pull Request - Doc - Doxygen.
Starting build job Stan Pull Request - Doc - Reference Manual.
Finished Build : #472 of Job : Stan Pull Request - Doc - Doxygen with status : SUCCESS
Finished Build : #466 of Job : Stan Pull Request - Doc - Reference Manual with status : SUCCESS
Starting build job Stan Pull Request - Tests - Header.
Starting build job Stan Pull Request - Tests - Unit.
Starting build job Stan Pull Request - Tests - Header Math.
Starting build job Stan Pull Request - Tests - Integration.
Starting build job Stan Pull Request - Tests - Unit Math.
Starting build job Stan Pull Request - Windows - Tests - Unit.
Finished Build : #437 of Job : Stan Pull Request - Tests - Header with status : SUCCESS
Finished Build : #43 of Job : Stan Pull Request - Tests - Header Math with status : SUCCESS
Finished Build : #439 of Job : Stan Pull Request - Tests - Unit with status : FAILURE
Finished Build : #439 of Job : Stan Pull Request - Tests - Integration with status : ABORTED
Finished Build : #286 of Job : Stan Pull Request - Windows - Tests - Unit with status : ABORTED
Finished Build : #44 of Job : Stan Pull Request - Tests - Unit Math with status : ABORTED
Build step 'MultiJob Phase' marked build as failure
Setting status of 7fff3dd14c1e7409f345ab0b09b6cc291283c9f3 to FAILURE with url http://d1m1s1b1.stat.columbia.edu:8080/job/Stan%20Pull%20Request/473/ and message: 'Build finished.'

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syclik
syclik reviewed Jun 30, 2015
View reviewed changes
src/stan/variational/advi.hpp
for (int i = 0; i < cont_params_.size(); ++i)
cont_vector.at(i) = cont_params_(i);
services::io::write_iteration(*out_stream_, model_, rng_,
0.0, cont_vector, disc_vector, &std::cout);
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should be print_stream_ instead of &std::cout, right? we've removed uses of std::cout from code.

@syclik syclik added this to the v2.7.0 milestone Jun 30, 2015
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@akucukelbir
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thanks @syclik !

syclik added a commit that referenced this pull request Jul 1, 2015
@syclik
Merge pull request #1421 from stan-dev/feature/bbvb
3a23163 
Feature/bbvb
@syclik syclik merged commit 3a23163 into develop Jul 1, 2015
@syclik syclik deleted the feature/bbvb branch July 1, 2015 12:55
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@akucukelbir @stan-buildbot @bob-carpenter @syclik @rtrangucci @HerraHuu @dustinvtran @brendan-r @betanalpha