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JuliaStats/Klara.jl

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JuliaStats / Klara.jl

Julia

MCMC inference in Julia


READ ME

Klara.jl

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The Julia Klara package provides a generic engine for Markov Chain Monte Carlo (MCMC) inference.

The documentation is out of date, but will be brought up-to-date upon completing milestone 0.12.0. In the meantime, this README file provides some elementary examples of the current interface. More examples can be found in doc/examples.

Example: sampling from an unnormalized normal target

using Klara

### Define the log-target as a function (generic or anonymous):

plogtarget(z::Vector{Float64}) = -dot(z, z)

### Define the parameter via BasicContMuvParameter (it is a continuous multivariate variable)
### The input arguments for BasicContMuvParameter are:
### 1) the variable key,
### 2) the log-target

p = BasicContMuvParameter(:p, logtarget=plogtarget)

### Define the model using the likelihood_model generator
### The second argument informs the likelihood_model generator that p.index has not been set

model = likelihood_model(p, false)

### Define a Metropolis-Hastings sampler with an identity covariance matrix

sampler = MH(ones(2))

### Set MCMC sampling range

mcrange = BasicMCRange(nsteps=10000, burnin=1000)

### Set initial values for simulation

v0 = Dict(:p=>[5.1, -0.9])

### Specify job to be run

job = BasicMCJob(model, sampler, mcrange, v0)

### Run the simulation

run(job)

### Get simulated values

chain = output(job)

chain.value

### Check that the simulated values are close to the zero-mean target

mean(chain)

To reset the job, using a new initial value for the targeted parameter, run

reset(job, [3.2, 9.4])

run(job)

chain = output(job)

To see how the acceptance rate changes during burnin, set the vanilla tuner in verbose mode

job = BasicMCJob(model, sampler, mcrange, v0, tuner=VanillaMCTuner(verbose=true))

run(job)

chain = output(job)

If apart from the simulated chain you also want to store the log-target, then pass an additional dictionary to the job to specify the output options. In particular, the :monitor key indicates which items will be monitored. In the example below, both :value and :logtarget will be monitored, referring to the chain and log-target respectively. These can then be accessed by the corresponding fields chain.value and chain.logtarget:

outopts = Dict{Symbol, Any}(:monitor=>[:value, :logtarget])

job = BasicMCJob(model, sampler, mcrange, v0, tuner=VanillaMCTuner(verbose=true), outopts=outopts)

run(job)

chain = output(job)

chain.logtarget

The acceptance ratio diagnostics can be stgored via the :diagnostics=>[:accept] entry of outopts:

outopts = Dict{Symbol, Any}(:monitor=>[:value, :logtarget], :diagnostics=>[:accept])

job = BasicMCJob(model, sampler, mcrange, v0, tuner=VanillaMCTuner(verbose=true), outopts=outopts)

run(job)

chain = output(job)

Instead of saving the output in memory, it can be written in file via the output option :destination=>:iostream:

outopts = Dict{Symbol, Any}(
  :monitor=>[:value, :logtarget],
  :diagnostics=>[:accept],
  :destination=>:iostream
)

job = BasicMCJob(model, sampler, mcrange, v0, tuner=VanillaMCTuner(verbose=true), outopts=outopts)

run(job)

The chain, log-target and acceptance ratio diagnostics of the above example are stored in the respective CSV files "value.csv", "logtarget.csv" and "diagnosticvalues.csv" of the current directory. To save the output in another directory, use the :filepath=>"myfullpath.csv", where "myfullpath.csv" is substituted by the full path of your choice:

outopts = Dict{Symbol, Any}(
  :monitor=>[:value, :logtarget],
  :diagnostics=>[:accept],
  :destination=>:iostream,
  :filepath=>"/Users/theodore/workspace/julia"
)

job = BasicMCJob(model, sampler, mcrange, v0, tuner=VanillaMCTuner(verbose=true), outopts=outopts)

run(job)

To use Julia tasks for running the job, set plain=false:

outopts = Dict{Symbol, Any}(:monitor=>[:value, :logtarget], :diagnostics=>[:accept])

job = BasicMCJob(model, sampler, mcrange, v0, tuner=VanillaMCTuner(verbose=true), outopts=outopts, plain=false)

run(job)

chain = output(job)

Task-based jobs can also be reset:

reset(job, [-2.8, 3.4])

run(job)

chain = output(job)

To run a sampler which requires the gradient of the log-target, such as MALA, try

using Klara

plogtarget(z::Vector{Float64}) = -dot(z, z)

pgradlogtarget(z::Vector{Float64}) = -2*z

p = BasicContMuvParameter(:p, logtarget=plogtarget, gradlogtarget=pgradlogtarget)

model = likelihood_model(p, false)

### Set driftstep to 0.9

sampler = MALA(0.9)

mcrange = BasicMCRange(nsteps=10000, burnin=1000)

v0 = Dict(:p=>[5.1, -0.9])

### Save grad-log-target along with the chain (value and log-target)

outopts = Dict{Symbol, Any}(:monitor=>[:value, :logtarget, :gradlogtarget], :diagnostics=>[:accept])

job = BasicMCJob(model, sampler, mcrange, v0, tuner=VanillaMCTuner(verbose=true), outopts=outopts)

run(job)

chain = output(job)

chain.gradlogtarget

mean(chain)

To adapt the MALA drift step empirically during burnin towards an intended acceptance rate of 60%, run

job = BasicMCJob(
  model,
  sampler,
  mcrange,
  v0,
  tuner=AcceptanceRateMCTuner(0.6, verbose=true),
  outopts=outopts
)

run(job)

chain = output(job)

The examples below demonstrates how to run MCMC using automatic differentiation (AD).

To use forward mode AD, try the following:

using Klara

plogtarget(z::Vector) = -dot(z, z)

p = BasicContMuvParameter(:p, logtarget=plogtarget, diffopts=DiffOptions(mode=:forward))

model = likelihood_model(p, false)

sampler = MALA(0.9)

mcrange = BasicMCRange(nsteps=10000, burnin=1000)

v0 = Dict(:p=>[5.1, -0.9])

outopts = Dict{Symbol, Any}(:monitor=>[:value, :logtarget, :gradlogtarget], :diagnostics=>[:accept])

job = BasicMCJob(model, sampler, mcrange, v0, tuner=VanillaMCTuner(verbose=true), outopts=outopts)

run(job)

chain = output(job)

Note that plogtarget takes an argument of type Vector instead of Vector{Float64}, as required by the ForwardDiff package. Furthermore, notice that in the definition of parameter p, the gradient of its log-target is not provided explicitly; instead, the optional argument diffopts=DiffOptions(mode=:forward) enables computing the gradient via forward mode AD.

To employ reverse mode AD, try

using Klara

plogtarget(z) = -dot(z, z)

p = BasicContMuvParameter(:p, logtarget=plogtarget, diffopts=DiffOptions(mode=:reverse))

model = likelihood_model(p, false)

sampler = MALA(0.9)

mcrange = BasicMCRange(nsteps=10000, burnin=1000)

v0 = Dict(:p=>[5.1, -0.9])

outopts = Dict{Symbol, Any}(:monitor=>[:value, :logtarget, :gradlogtarget], :diagnostics=>[:accept])

job = BasicMCJob(model, sampler, mcrange, v0, tuner=VanillaMCTuner(verbose=true), outopts=outopts)

run(job)

chain = output(job)

plogtarget takes an argument without specifying its type, as required by the ReverseDiff package. In the definition of parameter p, the gradient of its log-target is not provided explicitly; the optional argument diffopts=DiffOptions(mode=:reverse) enables computing the gradient via reverse mode AD.

Documentation

The user guide is currently being written up.