Merge pull request #41 from TuringLang/update

Add AbstractMCMC 0.5 and update Turing

Project.toml

@@ -1,7 +1,7 @@
 name = "DynamicPPL"
 uuid = "366bfd00-2699-11ea-058f-f148b4cae6d8"
 authors = ["mohamed82008 <[email protected]>"]
-version = "0.4.0"
+version = "0.4.1"
 
 [deps]
 AbstractMCMC = "80f14c24-f653-4e6a-9b94-39d6b0f70001"
@@ -10,35 +10,36 @@ Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 MacroTools = "1914dd2f-81c6-5fcd-8719-6d5c9610ff09"
 
 [compat]
-AbstractMCMC = "0.4"
+AbstractMCMC = "0.4, 0.5"
 Bijectors = "0.5.2"
 Distributions = "0.22"
 MacroTools = "0.5.1"
 julia = "1"
 
 [extras]
-AbstractMCMC = "80f14c24-f653-4e6a-9b94-39d6b0f70001"
 AdvancedHMC = "0bf59076-c3b1-5ca4-86bd-e02cd72cde3d"
-Bijectors = "76274a88-744f-5084-9051-94815aaf08c4"
-Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
+AdvancedMH = "5b7e9947-ddc0-4b3f-9b55-0d8042f74170"
+BinaryProvider = "b99e7846-7c00-51b0-8f62-c81ae34c0232"
 DistributionsAD = "ced4e74d-a319-5a8a-b0ac-84af2272839c"
 ForwardDiff = "f6369f11-7733-5829-9624-2563aa707210"
 Libtask = "6f1fad26-d15e-5dc8-ae53-837a1d7b8c9f"
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
 LogDensityProblems = "6fdf6af0-433a-55f7-b3ed-c6c6e0b8df7c"
+Logging = "56ddb016-857b-54e1-b83d-db4d58db5568"
 MCMCChains = "c7f686f2-ff18-58e9-bc7b-31028e88f75d"
-MacroTools = "1914dd2f-81c6-5fcd-8719-6d5c9610ff09"
 Markdown = "d6f4376e-aef5-505a-96c1-9c027394607a"
 PDMats = "90014a1f-27ba-587c-ab20-58faa44d9150"
-ProgressMeter = "92933f4c-e287-5a05-a399-4b506db050ca"
+ProgressLogging = "33c8b6b6-d38a-422a-b730-caa89a2f386c"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
 Reexport = "189a3867-3050-52da-a836-e630ba90ab69"
 Requires = "ae029012-a4dd-5104-9daa-d747884805df"
 SpecialFunctions = "276daf66-3868-5448-9aa4-cd146d93841b"
 Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
+StatsBase = "2913bbd2-ae8a-5f71-8c99-4fb6c76f3a91"
 StatsFuns = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 Tracker = "9f7883ad-71c0-57eb-9f7f-b5c9e6d3789c"
+UUIDs = "cf7118a7-6976-5b1a-9a39-7adc72f591a4"
 
 [targets]
-test = ["AbstractMCMC", "AdvancedHMC", "Bijectors", "Distributions", "DistributionsAD", "ForwardDiff", "Libtask", "LinearAlgebra", "LogDensityProblems", "MCMCChains", "MacroTools", "Markdown", "PDMats", "ProgressMeter", "Random", "Reexport", "Requires", "SpecialFunctions", "Statistics", "StatsFuns", "Test", "Tracker"]
+test = ["AdvancedHMC", "AdvancedMH", "DistributionsAD", "ForwardDiff", "Libtask", "LinearAlgebra", "LogDensityProblems", "Logging", "MCMCChains", "Markdown", "PDMats", "ProgressLogging", "Random", "Reexport", "Requires", "SpecialFunctions", "Statistics", "StatsBase", "StatsFuns", "Test", "Tracker", "UUIDs"]

test/Turing/Turing.jl

@@ -10,9 +10,8 @@ module Turing
 
 using Requires, Reexport, ForwardDiff
 using Bijectors, StatsFuns, SpecialFunctions
-using Statistics, LinearAlgebra, ProgressMeter
+using Statistics, LinearAlgebra
 using Markdown, Libtask, MacroTools
-using AbstractMCMC: sample, psample
 @reexport using Distributions, MCMCChains, Libtask
 using Tracker: Tracker
 
@@ -21,7 +20,7 @@ import DynamicPPL: getspace, runmodel!
 
 const PROGRESS = Ref(true)
 function turnprogress(switch::Bool)
-    @info("[Turing]: global PROGRESS is set as $switch")
+    @info "[Turing]: progress logging is $(switch ? "enabled" : "disabled") globally"
     PROGRESS[] = switch
 end
 
@@ -50,10 +49,14 @@ using .Variational
 # end
 
 @init @require DynamicHMC="bbc10e6e-7c05-544b-b16e-64fede858acb" @eval Inference begin
-    using Pkg; 
-    Pkg.installed()["DynamicHMC"] < v"2.0" && error("Please upgdate your DynamicHMC, v1.x is no longer supported")
-    using ..Turing.DynamicHMC: DynamicHMC, mcmc_with_warmup
-    include("contrib/inference/dynamichmc.jl")
+    import ..DynamicHMC
+
+    if isdefined(DynamicHMC, :mcmc_with_warmup)
+        using ..DynamicHMC: mcmc_with_warmup
+        include("contrib/inference/dynamichmc.jl")
+    else
+        error("Please update DynamicHMC, v1.x is no longer supported")
+    end
 end
 
 ###########
@@ -69,6 +72,7 @@ export  @model,                 # modelling
         DynamicPPL,
 
         MH,                     # classic sampling
+        RWMH,
         ESS,
         Gibbs,
 
@@ -109,4 +113,8 @@ export  @model,                 # modelling
         LogPoisson,
         NamedDist
 
+# Reexports
+using AbstractMCMC: sample, psample
+export sample, psample
+
 end

test/Turing/contrib/inference/AdvancedSMCExtensions.jl

@@ -255,7 +255,7 @@ function step(model, spl::Sampler{<:IPMCMC}, VarInfos::Array{VarInfo}, is_first:
 
     # Run SMC & CSMC nodes
     for j in 1:spl.alg.n_nodes
-        reset_num_produce!(VarInfos[j])
+        VarInfos[j].num_produce = 0
         VarInfos[j] = step(model, spl.info[:samplers][j], VarInfos[j])[1]
         log_zs[j] = spl.info[:samplers][j].info[:logevidence][end]
     end

test/Turing/contrib/inference/dynamichmc.jl

@@ -1,5 +1,3 @@
-using AbstractMCMC: NoCallback
-
 ###
 ### DynamicHMC backend - https://github.com/tpapp/DynamicHMC.jl
 ###
@@ -110,13 +108,41 @@ function Sampler(
     return Sampler(alg, Dict{Symbol,Any}(), s, state)
 end
 
-# Disable the callback for DynamicHMC, since it has it's own progress meter.
-function AbstractMCMC.init_callback(
+ # Disable the progress logging for DynamicHMC, since it has its own progress meter.
+ function AbstractMCMC.sample(
     rng::AbstractRNG,
-    model::Model,
-    s::Sampler{<:DynamicNUTS},
+    model::AbstractModel,
+    alg::DynamicNUTS,
     N::Integer;
+    chain_type=Chains,
+    resume_from=nothing,
+    progress=PROGRESS[],
     kwargs...
 )
-    return NoCallback()
+    if progress
+        @warn "[$(alg_str(alg))] Progress logging in Turing is disabled since DynamicHMC provides its own progress meter"
+    end
+    if resume_from === nothing
+        return AbstractMCMC.sample(rng, model, Sampler(alg, model), N;
+                                   chain_type=chain_type, progress=false, kwargs...)
+    else
+        return resume(resume_from, N; chain_type=chain_type, progress=false, kwargs...)
+    end
 end
+
+function AbstractMCMC.psample(
+    rng::AbstractRNG,
+    model::AbstractModel,
+    alg::DynamicNUTS,
+    N::Integer,
+    n_chains::Integer;
+    chain_type=Chains,
+    progress=PROGRESS[],
+    kwargs...
+)
+    if progress
+        @warn "[$(alg_str(alg))] Progress logging in Turing is disabled since DynamicHMC provides its own progress meter"
+    end
+    return AbstractMCMC.psample(rng, model, Sampler(alg, model), N, n_chains;
+                                chain_type=chain_type, progress=false, kwargs...)
+end

test/Turing/core/Core.jl

@@ -1,6 +1,5 @@
 module Core
 
-using Bijectors
 using MacroTools, Libtask, ForwardDiff, Random
 using Distributions, LinearAlgebra
 using ..Utilities, Reexport
@@ -14,14 +13,9 @@ import Bijectors: link, invlink
 using DistributionsAD
 using StatsFuns: logsumexp, softmax
 @reexport using DynamicPPL
-using Requires
 
 include("container.jl")
 include("ad.jl")
-@init @require Zygote = "e88e6eb3-aa80-5325-afca-941959d7151f" begin
-    include("compat/zygote.jl")
-    export ZygoteAD
-end
 
 export  @model,
         @varname,

test/Turing/core/ad.jl

@@ -1,15 +1,15 @@
 ##############################
 # Global variables/constants #
 ##############################
+using Bijectors
 
 const ADBACKEND = Ref(:forward_diff)
-setadbackend(backend_sym::Symbol) = setadbackend(Val(backend_sym))
-function setadbackend(::Val{:forward_diff})
-    CHUNKSIZE[] == 0 && setchunksize(40)
-    ADBACKEND[] = :forward_diff
-end
-function setadbackend(::Val{:reverse_diff})
-    ADBACKEND[] = :reverse_diff
+function setadbackend(backend_sym)
+    @assert backend_sym == :forward_diff || backend_sym == :reverse_diff
+    backend_sym == :forward_diff && CHUNKSIZE[] == 0 && setchunksize(40)
+    ADBACKEND[] = backend_sym
+
+    Bijectors.setadbackend(backend_sym)
 end
 
 const ADSAFE = Ref(false)
@@ -39,8 +39,7 @@ ADBackend() = ADBackend(ADBACKEND[])
 ADBackend(T::Symbol) = ADBackend(Val(T))
 
 ADBackend(::Val{:forward_diff}) = ForwardDiffAD{CHUNKSIZE[]}
-ADBackend(::Val{:reverse_diff}) = TrackerAD
-ADBackend(::Val) = error("The requested AD backend is not available. Make sure to load all required packages.")
+ADBackend(::Val) = TrackerAD
 
 """
 getADtype(alg)
@@ -70,8 +69,8 @@ function gradient_logp(
     ad_type = getADtype(sampler)
     if ad_type <: ForwardDiffAD
         return gradient_logp_forward(θ, vi, model, sampler)
-    else
-        return gradient_logp_reverse(ad_type(), θ, vi, model, sampler)
+    else ad_type <: TrackerAD
+        return gradient_logp_reverse(θ, vi, model, sampler)
     end
 end
 
@@ -114,22 +113,20 @@ end
 
 """
 gradient_logp_reverse(
-    backend::ADBackend,
     θ::AbstractVector{<:Real},
     vi::VarInfo,
     model::Model,
-    sampler::AbstractSampler = SampleFromPrior(),
+    sampler::AbstractSampler=SampleFromPrior(),
 )
 
 Computes the value of the log joint of `θ` and its gradient for the model
-specified by `(vi, sampler, model)` using reverse-mode AD from the specified `backend`, e.g. `TrackerAD()` which uses `Tracker.jl` or `ZygoteAD()` which uses `Zygote.jl`.
+specified by `(vi, sampler, model)` using reverse-mode AD from Tracker.jl.
 """
 function gradient_logp_reverse(
-    backend::TrackerAD,
     θ::AbstractVector{<:Real},
     vi::VarInfo,
     model::Model,
-    sampler::AbstractSampler = SampleFromPrior(),
+    sampler::AbstractSampler=SampleFromPrior(),
 )
     T = typeof(getlogp(vi))
 
@@ -141,19 +138,10 @@ function gradient_logp_reverse(
 
     # Compute forward and reverse passes.
     l_tracked, ȳ = Tracker.forward(f, θ)
-    # Remove tracking info from variables in model (because mutable state).
     l::T, ∂l∂θ::typeof(θ) = Tracker.data(l_tracked), Tracker.data(ȳ(1)[1])
-
+    # Remove tracking info from variables in model (because mutable state).
     return l, ∂l∂θ
 end
-function gradient_logp_reverse(
-    θ::AbstractVector{<:Real},
-    vi::VarInfo,
-    model::Model,
-    sampler::AbstractSampler = SampleFromPrior(),
-)
-    return gradient_logp_reverse(TrackerAD(), θ, vi, model, sampler)
-end
 
 function verifygrad(grad::AbstractVector{<:Real})
     if any(isnan, grad) || any(isinf, grad)
@@ -165,7 +153,6 @@ function verifygrad(grad::AbstractVector{<:Real})
     end
 end
 
-# Replace the adjoints below with Zygote ones
 for F in (:link, :invlink)
     @eval begin
         function $F(

test/Turing/inference/AdvancedSMC.jl

@@ -109,7 +109,7 @@ function AbstractMCMC.step!(
     spl::Sampler{<:SMC},
     ::Integer,
     transition;
-    iteration = -1,
+    iteration=-1,
     kwargs...
 )
     # check that we received a real iteration number
@@ -238,23 +238,22 @@ function AbstractMCMC.sample_end!(
     spl::Sampler{<:ParticleInference},
     N::Integer,
     ts::Vector{<:ParticleTransition};
+    resume_from = nothing,
     kwargs...
 )
-    # Set the default for resuming the sampler.
-    resume_from = get(kwargs, :resume_from, nothing)
-
     # Exponentiate the average log evidence.
     # loge = exp(mean([t.le for t in ts]))
     loge = mean(t.le for t in ts)
 
     # If we already had a chain, grab the logevidence.
-    if resume_from !== nothing   # concat samples
-        @assert resume_from isa Chains "resume_from needs to be a Chains object."
+    if resume_from isa Chains
         # pushfirst!(samples, resume_from.info[:samples]...)
         pre_loge = resume_from.logevidence
         # Calculate new log-evidence
         pre_n = length(resume_from)
         loge = (pre_loge * pre_n + loge * N) / (pre_n + N)
+    elseif resume_from !== nothing
+        error("keyword argument `resume_from` has to be `nothing` or a `Chains` object")
     end
 
     # Store the logevidence.