NUTS kernel options (#342)

* pass options

* bump

* Update src/abstractmcmc.jl

Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

* tests for kernel hyperparameters

* format

* test

* bring back all tests

* bug

* make_init_params bug

* more tests+ init_params bug

* more tests+ init_params bug

* tests for bug

* format

* catch HMC case

* Typofix.

---------

Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Co-authored-by: Hong Ge <hg344@cam.ac.uk>

Author: 3 people

Project.toml

@@ -1,6 +1,6 @@
 name = "AdvancedHMC"
 uuid = "0bf59076-c3b1-5ca4-86bd-e02cd72cde3d"
-version = "0.5.1"
+version = "0.5.2"
 
 [deps]
 AbstractMCMC = "80f14c24-f653-4e6a-9b94-39d6b0f70001"

src/abstractmcmc.jl

@@ -117,7 +117,7 @@ function AbstractMCMC.step(
 
     # Define integration algorithm
     # Find good eps if not provided one
-    init_params = make_init_params(spl, logdensity, init_params)
+    init_params = make_init_params(rng, spl, logdensity, init_params)
     ϵ = make_step_size(rng, spl, hamiltonian, init_params)
     integrator = make_integrator(spl, ϵ)
 
@@ -251,7 +251,12 @@ end
 #############
 ### Utils ###
 #############
-function make_init_params(spl::AbstractHMCSampler, logdensity, init_params)
+function make_init_params(
+    rng::AbstractRNG,
+    spl::AbstractHMCSampler,
+    logdensity,
+    init_params,
+)
     T = sampler_eltype(spl)
     if init_params == nothing
         d = LogDensityProblems.dimension(logdensity)
@@ -354,7 +359,9 @@ end
 #########
 
 function make_kernel(spl::NUTS, integrator::AbstractIntegrator)
-    return HMCKernel(Trajectory{MultinomialTS}(integrator, GeneralisedNoUTurn()))
+    return HMCKernel(
+        Trajectory{MultinomialTS}(integrator, GeneralisedNoUTurn(spl.max_depth, spl.Δ_max)),
+    )
 end
 
 function make_kernel(spl::HMC, integrator::AbstractIntegrator)

test/constructors.jl

@@ -1,9 +1,19 @@
 using AdvancedHMC, AbstractMCMC, Random
 include("common.jl")
 
+get_kernel_hyperparams(spl::HMC, state) = state.κ.τ.termination_criterion.L
+get_kernel_hyperparams(spl::HMCDA, state) = state.κ.τ.termination_criterion.λ
+get_kernel_hyperparams(spl::NUTS, state) =
+    state.κ.τ.termination_criterion.max_depth, state.κ.τ.termination_criterion.Δ_max
+
+get_kernel_hyperparamsT(spl::HMC, state) = typeof(state.κ.τ.termination_criterion.L)
+get_kernel_hyperparamsT(spl::HMCDA, state) = typeof(state.κ.τ.termination_criterion.λ)
+get_kernel_hyperparamsT(spl::NUTS, state) = typeof(state.κ.τ.termination_criterion.Δ_max)
+
 @testset "Constructors" begin
     d = 2
     θ_init = randn(d)
+    rng = Random.default_rng()
     model = AbstractMCMC.LogDensityModel(ℓπ_gdemo)
 
     @testset "$T" for T in [Float32, Float64]
@@ -14,6 +24,7 @@ include("common.jl")
                     adaptor_type = NoAdaptation,
                     metric_type = DiagEuclideanMetric{T},
                     integrator_type = Leapfrog{T},
+                    kernel_hp = 25,
                 ),
             ),
             (
@@ -22,6 +33,7 @@ include("common.jl")
                     adaptor_type = NoAdaptation,
                     metric_type = DiagEuclideanMetric{T},
                     integrator_type = Leapfrog{T},
+                    kernel_hp = 25,
                 ),
             ),
             (
@@ -30,6 +42,7 @@ include("common.jl")
                     adaptor_type = NoAdaptation,
                     metric_type = DiagEuclideanMetric{T},
                     integrator_type = Leapfrog{T},
+                    kernel_hp = 25,
                 ),
             ),
             (
@@ -38,6 +51,7 @@ include("common.jl")
                     adaptor_type = NoAdaptation,
                     metric_type = UnitEuclideanMetric{T},
                     integrator_type = Leapfrog{T},
+                    kernel_hp = 25,
                 ),
             ),
             (
@@ -46,6 +60,7 @@ include("common.jl")
                     adaptor_type = NoAdaptation,
                     metric_type = DenseEuclideanMetric{T},
                     integrator_type = Leapfrog{T},
+                    kernel_hp = 25,
                 ),
             ),
             (
@@ -54,6 +69,7 @@ include("common.jl")
                     adaptor_type = NesterovDualAveraging,
                     metric_type = DiagEuclideanMetric{T},
                     integrator_type = Leapfrog{T},
+                    kernel_hp = one(T),
                 ),
             ),
             # This should perform the correct promotion for the 2nd argument.
@@ -63,14 +79,16 @@ include("common.jl")
                     adaptor_type = NesterovDualAveraging,
                     metric_type = DiagEuclideanMetric{T},
                     integrator_type = Leapfrog{T},
+                    kernel_hp = one(T),
                 ),
             ),
             (
-                NUTS(T(0.8)),
+                NUTS(T(0.8); max_depth = 20, Δ_max = T(2000.0)),
                 (
                     adaptor_type = StanHMCAdaptor,
                     metric_type = DiagEuclideanMetric{T},
                     integrator_type = Leapfrog{T},
+                    kernel_hp = (20, T(2000.0)),
                 ),
             ),
             (
@@ -79,6 +97,7 @@ include("common.jl")
                     adaptor_type = StanHMCAdaptor,
                     metric_type = UnitEuclideanMetric{T},
                     integrator_type = Leapfrog{T},
+                    kernel_hp = (10, T(1000.0)),
                 ),
             ),
             (
@@ -87,6 +106,7 @@ include("common.jl")
                     adaptor_type = StanHMCAdaptor,
                     metric_type = DenseEuclideanMetric{T},
                     integrator_type = Leapfrog{T},
+                    kernel_hp = (10, T(1000.0)),
                 ),
             ),
             (
@@ -95,6 +115,7 @@ include("common.jl")
                     adaptor_type = StanHMCAdaptor,
                     metric_type = DiagEuclideanMetric{T},
                     integrator_type = JitteredLeapfrog{T,T},
+                    kernel_hp = (10, T(1000.0)),
                 ),
             ),
             (
@@ -103,14 +124,14 @@ include("common.jl")
                     adaptor_type = StanHMCAdaptor,
                     metric_type = DiagEuclideanMetric{T},
                     integrator_type = TemperedLeapfrog{T,T},
+                    kernel_hp = (10, T(1000.0)),
                 ),
             ),
         ]
             # Make sure the sampler element type is preserved.
             @test AdvancedHMC.sampler_eltype(sampler) == T
 
             # Step.
-            rng = Random.default_rng()
             transition, state =
                 AbstractMCMC.step(rng, model, sampler; n_adapts = 0, init_params = θ_init)
 
@@ -126,6 +147,35 @@ include("common.jl")
             @test AdvancedHMC.getmetric(state) isa expected.metric_type
             @test AdvancedHMC.getintegrator(state) isa expected.integrator_type
             @test AdvancedHMC.getadaptor(state) isa expected.adaptor_type
+
+            # Verify that the kernel is receiving the hyperparameters
+            @test get_kernel_hyperparams(sampler, state) == expected.kernel_hp
+            if typeof(sampler) <: HMC
+                @test get_kernel_hyperparamsT(sampler, state) == Int64
+            else
+                @test get_kernel_hyperparamsT(sampler, state) == T
+            end
         end
     end
 end
+
+@testset "Utils" begin
+    @testset "init_params" begin
+        d = 2
+        θ_init = randn(d)
+        rng = Random.default_rng()
+        model = AbstractMCMC.LogDensityModel(ℓπ_gdemo)
+        logdensity = model.logdensity
+        spl = NUTS(0.8)
+        T = AdvancedHMC.sampler_eltype(spl)
+
+        metric = make_metric(spl, logdensity)
+        hamiltonian = Hamiltonian(metric, model)
+
+        init_params1 = make_init_params(rng, spl, logdensity, nothing)
+        @test typeof(init_params1) == Vector{T}
+        @test length(init_params1) == d
+        init_params2 = make_init_params(rng, spl, logdensity, θ_init)
+        @test init_params2 === θ_init
+    end
+end