Add Riemannian manifold HMC

docs/src/api.md

@@ -8,6 +8,7 @@ This modularity means that different HMC variants can be easily constructed by c
   - Unit metric: `UnitEuclideanMetric(dim)`
   - Diagonal metric: `DiagEuclideanMetric(dim)`
   - Dense metric: `DenseEuclideanMetric(dim)`
+  - Dense Riemannian metric: `DenseRiemannianMetric(size, G, ∂G∂θ)`
 
 where `dim` is the dimensionality of the sampling space.
 

src/AdvancedHMC.jl

@@ -2,7 +2,19 @@ module AdvancedHMC
 
 using Statistics: mean, var, middle
 using LinearAlgebra:
-    Symmetric, UpperTriangular, mul!, ldiv!, dot, I, diag, cholesky, UniformScaling
+    Symmetric,
+    UpperTriangular,
+    mul!,
+    ldiv!,
+    dot,
+    I,
+    diag,
+    cholesky,
+    UniformScaling,
+    logdet,
+    tr,
+    eigen,
+    diagm
 using StatsFuns: logaddexp, logsumexp, loghalf
 using Random: Random, AbstractRNG
 using ProgressMeter: ProgressMeter
@@ -40,7 +52,7 @@ struct GaussianKinetic <: AbstractKinetic end
 export GaussianKinetic
 
 include("metric.jl")
-export UnitEuclideanMetric, DiagEuclideanMetric, DenseEuclideanMetric
+export UnitEuclideanMetric, DiagEuclideanMetric, DenseEuclideanMetric, DenseRiemannianMetric
 
 include("hamiltonian.jl")
 export Hamiltonian
@@ -50,6 +62,11 @@ export Leapfrog, JitteredLeapfrog, TemperedLeapfrog
 include("riemannian/integrator.jl")
 export GeneralizedLeapfrog
 
+include("riemannian/metric.jl")
+export IdentityMap, SoftAbsMap, DenseRiemannianMetric
+
+include("riemannian/hamiltonian.jl")
+
 include("trajectory.jl")
 export Trajectory,
     HMCKernel,

src/riemannian/hamiltonian.jl

@@ -1,257 +1,16 @@
-using Random
-
-### integrator.jl
-
-import AdvancedHMC: ∂H∂θ, ∂H∂r, DualValue, PhasePoint, phasepoint, step
-using AdvancedHMC: TYPEDEF, TYPEDFIELDS, AbstractScalarOrVec, AbstractLeapfrog, step_size
-
-"""
-$(TYPEDEF)
-
-Generalized leapfrog integrator with fixed step size `ϵ`.
-
-# Fields
-
-$(TYPEDFIELDS)
-"""
-struct GeneralizedLeapfrog{T<:AbstractScalarOrVec{<:AbstractFloat}} <: AbstractLeapfrog{T}
-    "Step size."
-    ϵ::T
-    n::Int
-end
-function Base.show(io::IO, l::GeneralizedLeapfrog)
-    return print(io, "GeneralizedLeapfrog(ϵ=", round.(l.ϵ; sigdigits=3), ", n=", l.n, ")")
-end
-
-# Fallback to ignore return_cache & cache kwargs for other ∂H∂θ
-function ∂H∂θ_cache(h, θ, r; return_cache=false, cache=nothing) where {T}
-    dv = ∂H∂θ(h, θ, r)
-    return return_cache ? (dv, nothing) : dv
-end
-
-# TODO Make sure vectorization works
-# TODO Check if tempering is valid
-function step(
-    lf::GeneralizedLeapfrog{T},
-    h::Hamiltonian,
-    z::P,
-    n_steps::Int=1;
-    fwd::Bool=n_steps > 0,  # simulate hamiltonian backward when n_steps < 0
-    full_trajectory::Val{FullTraj}=Val(false),
-) where {T<:AbstractScalarOrVec{<:AbstractFloat},P<:PhasePoint,FullTraj}
-    n_steps = abs(n_steps)  # to support `n_steps < 0` cases
-
-    ϵ = fwd ? step_size(lf) : -step_size(lf)
-    ϵ = ϵ'
-
-    res = if FullTraj
-        Vector{P}(undef, n_steps)
-    else
-        z
-    end
-
-    for i in 1:n_steps
-        θ_init, r_init = z.θ, z.r
-        # Tempering
-        #r = temper(lf, r, (i=i, is_half=true), n_steps)
-        #! Eq (16) of Girolami & Calderhead (2011)
-        r_half = copy(r_init)
-        local cache
-        for j in 1:(lf.n)
-            # Reuse cache for the first iteration
-            if j == 1
-                (; value, gradient) = z.ℓπ
-            elseif j == 2 # cache intermediate values that depends on θ only (which are unchanged)
-                retval, cache = ∂H∂θ_cache(h, θ_init, r_half; return_cache=true)
-                (; value, gradient) = retval
-            else # reuse cache
-                (; value, gradient) = ∂H∂θ_cache(h, θ_init, r_half; cache=cache)
-            end
-            r_half = r_init - ϵ / 2 * gradient
-            # println("r_half: ", r_half)
-        end
-        #! Eq (17) of Girolami & Calderhead (2011)
-        θ_full = copy(θ_init)
-        term_1 = ∂H∂r(h, θ_init, r_half) # unchanged across the loop
-        for j in 1:(lf.n)
-            θ_full = θ_init + ϵ / 2 * (term_1 + ∂H∂r(h, θ_full, r_half))
-            # println("θ_full :", θ_full)
-        end
-        #! Eq (18) of Girolami & Calderhead (2011)
-        (; value, gradient) = ∂H∂θ(h, θ_full, r_half)
-        r_full = r_half - ϵ / 2 * gradient
-        # println("r_full: ", r_full)
-        # Tempering
-        #r = temper(lf, r, (i=i, is_half=false), n_steps)
-        # Create a new phase point by caching the logdensity and gradient
-        z = phasepoint(h, θ_full, r_full; ℓπ=DualValue(value, gradient))
-        # Update result
-        if FullTraj
-            res[i] = z
-        else
-            res = z
-        end
-        if !isfinite(z)
-            # Remove undef
-            if FullTraj
-                res = res[isassigned.(Ref(res), 1:n_steps)]
-            end
-            break
-        end
-        # @assert false
-    end
-    return res
-end
-
-# TODO Make the order of θ and r consistent with neg_energy
-∂H∂θ(h::Hamiltonian, θ::AbstractVecOrMat, r::AbstractVecOrMat) = ∂H∂θ(h, θ)
-∂H∂r(h::Hamiltonian, θ::AbstractVecOrMat, r::AbstractVecOrMat) = ∂H∂r(h, r)
-
-### hamiltonian.jl
-
-import AdvancedHMC: refresh, phasepoint
-using AdvancedHMC: FullMomentumRefreshment, PartialMomentumRefreshment, AbstractMetric
-
-# To change L180 of hamiltonian.jl
-function phasepoint(
-    rng::Union{AbstractRNG,AbstractVector{<:AbstractRNG}},
-    θ::AbstractVecOrMat{T},
-    h::Hamiltonian,
-) where {T<:Real}
-    return phasepoint(h, θ, rand_momentum(rng, h.metric, h.kinetic, θ))
-end
-
-# To change L191 of hamiltonian.jl
-function refresh(
-    rng::Union{AbstractRNG,AbstractVector{<:AbstractRNG}},
-    ::FullMomentumRefreshment,
-    h::Hamiltonian,
-    z::PhasePoint,
-)
-    return phasepoint(h, z.θ, rand_momentum(rng, h.metric, h.kinetic, z.θ))
-end
-
-# To change L215 of hamiltonian.jl
-function refresh(
-    rng::Union{AbstractRNG,AbstractVector{<:AbstractRNG}},
-    ref::PartialMomentumRefreshment,
-    h::Hamiltonian,
-    z::PhasePoint,
-)
-    return phasepoint(
-        h,
-        z.θ,
-        ref.α * z.r + sqrt(1 - ref.α^2) * rand_momentum(rng, h.metric, h.kinetic, z.θ),
-    )
-end
-
-### metric.jl
-
-import AdvancedHMC: _rand
-using AdvancedHMC: AbstractMetric
-using LinearAlgebra: eigen, cholesky, Symmetric
-
-abstract type AbstractRiemannianMetric <: AbstractMetric end
-
-abstract type AbstractHessianMap end
-
-struct IdentityMap <: AbstractHessianMap end
-
-(::IdentityMap)(x) = x
-
-struct SoftAbsMap{T} <: AbstractHessianMap
-    α::T
-end
-
-# TODO Register softabs with ReverseDiff
-#! The definition of SoftAbs from Page 3 of Betancourt (2012)
-function softabs(X, α=20.0)
-    F = eigen(X) # ReverseDiff cannot diff through `eigen`
-    Q = hcat(F.vectors)
-    λ = F.values
-    softabsλ = λ .* coth.(α * λ)
-    return Q * diagm(softabsλ) * Q', Q, λ, softabsλ
-end
-
-(map::SoftAbsMap)(x) = softabs(x, map.α)[1]
-
-struct DenseRiemannianMetric{
-    T,
-    TM<:AbstractHessianMap,
-    A<:Union{Tuple{Int},Tuple{Int,Int}},
-    AV<:AbstractVecOrMat{T},
-    TG,
-    T∂G∂θ,
-} <: AbstractRiemannianMetric
-    size::A
-    G::TG # TODO store G⁻¹ here instead
-    ∂G∂θ::T∂G∂θ
-    map::TM
-    _temp::AV
-end
-
-# TODO Make dense mass matrix support matrix-mode parallel
-function DenseRiemannianMetric(size, G, ∂G∂θ, map=IdentityMap()) where {T<:AbstractFloat}
-    _temp = Vector{Float64}(undef, size[1])
-    return DenseRiemannianMetric(size, G, ∂G∂θ, map, _temp)
-end
-# DenseEuclideanMetric(::Type{T}, D::Int) where {T} = DenseEuclideanMetric(Matrix{T}(I, D, D))
-# DenseEuclideanMetric(D::Int) = DenseEuclideanMetric(Float64, D)
-# DenseEuclideanMetric(::Type{T}, sz::Tuple{Int}) where {T} = DenseEuclideanMetric(Matrix{T}(I, first(sz), first(sz)))
-# DenseEuclideanMetric(sz::Tuple{Int}) = DenseEuclideanMetric(Float64, sz)
-
-# renew(ue::DenseEuclideanMetric, M⁻¹) = DenseEuclideanMetric(M⁻¹)
-
-Base.size(e::DenseRiemannianMetric) = e.size
-Base.size(e::DenseRiemannianMetric, dim::Int) = e.size[dim]
-Base.show(io::IO, dem::DenseRiemannianMetric) = print(io, "DenseRiemannianMetric(...)")
-
-function rand_momentum(
-    rng::Union{AbstractRNG,AbstractVector{<:AbstractRNG}},
-    metric::DenseRiemannianMetric{T},
-    kinetic,
+#! Eq (14) of Girolami & Calderhead (2011)
+function ∂H∂r(
+    h::Hamiltonian{<:DenseRiemannianMetric,<:GaussianKinetic},
     θ::AbstractVecOrMat,
-) where {T}
-    r = _randn(rng, T, size(metric)...)
-    G⁻¹ = inv(metric.map(metric.G(θ)))
-    chol = cholesky(Symmetric(G⁻¹))
-    ldiv!(chol.U, r)
-    return r
-end
-
-### hamiltonian.jl
-
-import AdvancedHMC: phasepoint, neg_energy, ∂H∂θ, ∂H∂r
-using LinearAlgebra: logabsdet, tr
-
-# QUES Do we want to change everything to position dependent by default?
-# Add θ to ∂H∂r for DenseRiemannianMetric
-function phasepoint(
-    h::Hamiltonian{<:DenseRiemannianMetric},
-    θ::T,
-    r::T;
-    ℓπ=∂H∂θ(h, θ),
-    ℓκ=DualValue(neg_energy(h, r, θ), ∂H∂r(h, θ, r)),
-) where {T<:AbstractVecOrMat}
-    return PhasePoint(θ, r, ℓπ, ℓκ)
-end
-
-# Negative kinetic energy
-#! Eq (13) of Girolami & Calderhead (2011)
-function neg_energy(
-    h::Hamiltonian{<:DenseRiemannianMetric}, r::T, θ::T
-) where {T<:AbstractVecOrMat}
-    G = h.metric.map(h.metric.G(θ))
-    D = size(G, 1)
-    # Need to consider the normalizing term as it is no longer same for different θs
-    logZ = 1 / 2 * (D * log(2π) + logdet(G)) # it will be user's responsibility to make sure G is SPD and logdet(G) is defined
-    mul!(h.metric._temp, inv(G), r)
-    return -logZ - dot(r, h.metric._temp) / 2
+    r::AbstractVecOrMat,
+)
+    H = h.metric.G(θ)
+    G = h.metric.map(H)
+    return G \ r # NOTE it's actually pretty weird that ∂H∂θ returns DualValue but ∂H∂r doesn't
 end
 
-# QUES L31 of hamiltonian.jl now reads a bit weird (semantically)
 function ∂H∂θ(
-    h::Hamiltonian{<:DenseRiemannianMetric{T,<:IdentityMap}},
+    h::Hamiltonian{<:DenseRiemannianMetric{T,<:IdentityMap},<:GaussianKinetic},
     θ::AbstractVecOrMat{T},
     r::AbstractVecOrMat{T},
 ) where {T}
@@ -293,14 +52,14 @@ function make_J(λ::AbstractVector{T}, α::T) where {T<:AbstractFloat}
 end
 
 function ∂H∂θ(
-    h::Hamiltonian{<:DenseRiemannianMetric{T,<:SoftAbsMap}},
+    h::Hamiltonian{<:DenseRiemannianMetric{T,<:SoftAbsMap},<:GaussianKinetic},
     θ::AbstractVecOrMat{T},
     r::AbstractVecOrMat{T},
 ) where {T}
     return ∂H∂θ_cache(h, θ, r)
 end
 function ∂H∂θ_cache(
-    h::Hamiltonian{<:DenseRiemannianMetric{T,<:SoftAbsMap}},
+    h::Hamiltonian{<:DenseRiemannianMetric{T,<:SoftAbsMap},<:GaussianKinetic},
     θ::AbstractVecOrMat{T},
     r::AbstractVecOrMat{T};
     return_cache=false,
@@ -342,17 +101,26 @@ function ∂H∂θ_cache(
     return return_cache ? (dv, (; ℓπ, ∂ℓπ∂θ, ∂H∂θ, Q, softabsλ, J, term_1_cached)) : dv
 end
 
-#! Eq (14) of Girolami & Calderhead (2011)
-function ∂H∂r(
-    h::Hamiltonian{<:DenseRiemannianMetric}, θ::AbstractVecOrMat, r::AbstractVecOrMat
-)
-    H = h.metric.G(θ)
-    # if !all(isfinite, H)
-    #     println("θ: ", θ)
-    #     println("H: ", H)
-    # end
-    G = h.metric.map(H)
-    # return inv(G) * r
-    # println("G \ r: ", G \ r)
-    return G \ r # NOTE it's actually pretty weird that ∂H∂θ returns DualValue but ∂H∂r doesn't
+# QUES Do we want to change everything to position dependent by default?
+# Add θ to ∂H∂r for DenseRiemannianMetric
+function phasepoint(
+    h::Hamiltonian{<:DenseRiemannianMetric},
+    θ::T,
+    r::T;
+    ℓπ=∂H∂θ(h, θ),
+    ℓκ=DualValue(neg_energy(h, r, θ), ∂H∂r(h, θ, r)),
+) where {T<:AbstractVecOrMat}
+    return PhasePoint(θ, r, ℓπ, ℓκ)
+end
+
+#! Eq (13) of Girolami & Calderhead (2011)
+function neg_energy(
+    h::Hamiltonian{<:DenseRiemannianMetric,<:GaussianKinetic}, r::T, θ::T
+) where {T<:AbstractVecOrMat}
+    G = h.metric.map(h.metric.G(θ))
+    D = size(G, 1)
+    # Need to consider the normalizing term as it is no longer same for different θs
+    logZ = 1 / 2 * (D * log(2π) + logdet(G)) # it will be user's responsibility to make sure G is SPD and logdet(G) is defined
+    mul!(h.metric._temp, inv(G), r)
+    return -logZ - dot(r, h.metric._temp) / 2
 end