use full matrix instead of lower cholesky in AdaptiveMHTuner

Author: Cornelius-G

examples/dev-internal/transformed_example.jl

@@ -17,11 +17,20 @@ rng = Philox4x()
 posterior = BAT.example_posterior()
 
 my_result = @time BAT.bat_sample_impl(rng, posterior, TransformedMCMCSampling(pre_transform=PriorToGaussian(), nchains=4, nsteps=4*100000))
-my_samples = my_result.result
 
-mh_result = @time BAT.bat_sample_impl(rng, posterior, TransformedMCMCSampling(tuning_alg=TransformedAdaptiveMHTuning(), pre_transform=PriorToGaussian(), nchains=4, nsteps=4*100000))
 
-(;chain, tuner) = BAT.g_state
+
+
+density_notrafo = convert(BAT.AbstractMeasureOrDensity, posterior)
+density, trafo = BAT.transform_and_unshape(PriorToGaussian(), density_notrafo)
+
+c = BAT._approx_cov(density)
+f = BAT.CustomTransform(Mul(c))
+
+my_result = @time BAT.bat_sample_impl(rng, posterior, TransformedMCMCSampling(pre_transform=PriorToGaussian(), tuning_alg=TransformedAdaptiveMHTuning(), nchains=4, nsteps=4*100000, adaptive_transform=f))
+
+my_samples = my_result.result
+
 
 
 using Plots

src/samplers/transformed_mcmc/mcmc_tuning/mcmc_proposalcov_tuner.jl

@@ -85,7 +85,7 @@ function tuning_update!(tuner::TransformedProposalCovTuner, chain::MCMCIterator,
     transform = chain.f_transform
 
 
-    #TODO AC: check with Oli
+    #TODO AC: rename S_L to S, check with Oli
     S_L = transform.A
     Σ_old = S_L
 
@@ -113,8 +113,8 @@ function tuning_update!(tuner::TransformedProposalCovTuner, chain::MCMCIterator,
 
     Σ_new = new_Σ_unscal * tuner.scale
     #TODO AC: check
-    S = cholesky(Positive, Σ_new)
-    chain.f_transform = Mul(S.L)
+    #S = cholesky(Positive, Σ_new)
+    chain.f_transform = Mul(Σ_new)
     tuner.iteration += 1
 
     nothing
@@ -133,7 +133,7 @@ tuning_callback(::TransformedProposalCovTuner) = nop_func
 function tune_mcmc_transform!!(
     rng::AbstractRNG,
     tuner::TransformedProposalCovTuner,
-    transform::Mul{<:LowerTriangular}, #AffineMaps.AbstractAffineMap,#{<:typeof(*), <:LowerTriangular{<:Real}},
+    transform::Any, #AffineMaps.AbstractAffineMap,#{<:typeof(*), <:LowerTriangular{<:Real}},
     p_accept::Real,
     z_proposed::Vector{<:Float64}, #TODO: use DensitySamples instead
     z_current::Vector{<:Float64},

src/transforms/adaptive_transform.jl

@@ -12,7 +12,7 @@ function init_adaptive_transform(
     adaptive_transform::CustomTransform,
     density
 )
-    return adaptive_transform
+    return adaptive_transform.f
 end