Revision b08f3062c96677de266af26767634fd7c6e6611d authored by Alexander G. de G. Matthews on 09 September 2016, 10:59:46 UTC, committed by James Hensman on 09 September 2016, 10:59:46 UTC
* Renaming tf_hacks to tf_wraps

* Changing tf_hacks to tf_wraps in code.

* adding a tf_hacks file that raises deprecationwarnings

* release notes

* bumpng version on docs

* importing tf_hacks, tf_wraps
1 parent 61b0659
Raw File
# Copyright 2016 James Hensman, alexggmatthews
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# See the License for the specific language governing permissions and
# limitations under the License.

from __future__ import division, print_function
import numpy as np

def sample_HMC(f, num_samples, Lmin, Lmax, epsilon, x0, verbose=False,
               thin=1, burn=0, RNG=np.random.RandomState(0),
    A straight-forward HMC implementation. The mass matrix is assumed to be the

    f is a python function that returns the energy and its gradient

      f(x) = E(x), dE(x)/dx

    we then generate samples from the distribution

      pi(x) = exp(-E(x))/Z

    - num_samples is the number of samples to generate.
    - Lmin, Lmax, epsilon are parameters of the HMC procedure to be tuned.
    - x0 is the starting position for the procedure.
    - verbose is a flag which turns on the display of the running accept ratio.
    - thin is an integer which specifies the thinning interval
    - burn is an integer which specifies how many initial samples to discard.
    - RNG is a random number generator
    - return_logprobs is a boolean indicating whether to return the log densities alongside the samples.

    The total number of iterations is given by

      burn + thin * num_samples

    The return shape is always num_samples x D.

    The leafrog (Verlet) integrator works by picking a random number of steps
    uniformly between Lmin and Lmax, and taking steps of length epsilon.

    # an array to store the logprobs in (even if the user doesn't want them)
    logprob_track = np.empty(num_samples)

    # burn some samples if needed.
    if burn > 0:
        if verbose:
            print("burn-in sampling started")
        samples = sample_HMC(f, num_samples=burn, Lmin=Lmin, Lmax=Lmax,
                             epsilon=epsilon, x0=x0,
                             verbose=verbose, thin=1, burn=0)
        if verbose:
            print("burn-in sampling ended")
        x0 = samples[-1]

    D = x0.size
    samples = np.zeros((num_samples, D))
    samples[0] = x0.copy()
    x = x0.copy()
    logprob, grad = f(x0)
    logprob, grad = -logprob, -grad

    accept_count_batch = 0

    for t in range(1, num_samples * thin):

        # Output acceptance rate every 100 iterations
        if(((t+1) % 100) == 0):
            if verbose:
                print("Iteration: ", t+1,
                      "\t Acc Rate: ", 1. * accept_count_batch, "%")
            accept_count_batch = 0

        # make a copy of the old state.
        x_old, logprob_old, grad_old = x.copy(), logprob, grad.copy()
        p_old = RNG.randn(D)

        # Standard HMC - begin leapfrogging
        premature_reject = False
        p = p_old + 0.5 * epsilon * grad
        for l in range(RNG.randint(Lmin, Lmax)):
            x += epsilon * p
            logprob, grad = f(x)
            logprob, grad = -logprob, -grad
            if np.any(np.isnan(grad)):  # pragma: no cover
                premature_reject = True
            p += epsilon * grad
        p -= 0.5*epsilon * grad
        # leapfrogging done

        # reject the proposal if there are numerical errors.
        if premature_reject:  # pragma: no cover
            print("warning: numerical instability.\
                  Rejecting this proposal prematurely")
            x, logprob, grad = x_old, logprob_old, grad_old
            if t % thin == 0:
                samples[t // thin] = x_old
                logprob_track[t // thin] = logprob_old

        # work out whether to accept the proposal
        log_accept_ratio = logprob - 0.5 * -\
            logprob_old + 0.5 *
        logu = np.log(RNG.rand())

        if logu < log_accept_ratio:  # accept
            if t % thin == 0:
                samples[t // thin] = x
                logprob_track[t // thin] = logprob
            accept_count_batch += 1
        else:  # reject
            if t % thin == 0:
                samples[t // thin] = x_old
                logprob_track[t // thin] = logprob_old
            x, logprob, grad = x_old, logprob_old, grad_old
    if return_logprobs:
        return samples, logprob_track
        return samples
back to top