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Add getparams and setparams!! following AbstractMCMC v5.5 and v5.6 #378

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Add getparams and setparams!! following AbstractMCMC v5.5 and v5.6 #378

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eedb02f
add `getparams` and `setparams!!`
sunxd3 Oct 21, 2024
f340df7
undo formatting
sunxd3 Oct 21, 2024
161efff
Update test/abstractmcmc.jl
sunxd3 Oct 21, 2024
933efe5
add some new tests
sunxd3 Oct 22, 2024
4b0be7f
update `setparams!!`
sunxd3 Oct 22, 2024
8f801d4
Update src/abstractmcmc.jl
sunxd3 Oct 22, 2024
57f9e2b
add comment
sunxd3 Oct 22, 2024
26b0970
Update abstractmcmc.jl
sunxd3 Oct 22, 2024
b9dfa36
format
sunxd3 Oct 23, 2024
c7f3163
update implementation
sunxd3 Oct 28, 2024
9d05e46
bump AbstractMCMC
sunxd3 Oct 28, 2024
3b05769
update test
sunxd3 Oct 28, 2024
480dedc
Update src/abstractmcmc.jl
sunxd3 Oct 28, 2024
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4 changes: 2 additions & 2 deletions Project.toml
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
name = "AdvancedHMC"
uuid = "0bf59076-c3b1-5ca4-86bd-e02cd72cde3d"
version = "0.6.2"
version = "0.6.3"

[deps]
AbstractMCMC = "80f14c24-f653-4e6a-9b94-39d6b0f70001"
Expand Down Expand Up @@ -30,7 +30,7 @@ AdvancedHMCMCMCChainsExt = "MCMCChains"
AdvancedHMCOrdinaryDiffEqExt = "OrdinaryDiffEq"

[compat]
AbstractMCMC = "5"
AbstractMCMC = "5.5"
ArgCheck = "1, 2"
CUDA = "3, 4, 5"
DocStringExtensions = "0.8, 0.9"
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9 changes: 9 additions & 0 deletions src/abstractmcmc.jl
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Expand Up @@ -30,6 +30,15 @@ getadaptor(state::HMCState) = state.adaptor
getmetric(state::HMCState) = state.metric
getintegrator(state::HMCState) = state.κ.τ.integrator

function AbstractMCMC.getparams(state::HMCState)
# TODO(sunxd): should we return a copy?
return state.transition.z.θ
end

function AbstractMCMC.setparams!!(state::HMCState, θ)
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One dangerous aspect there is that state.transition caches the logjoint and gradient computations. So when you use the @set macro here, you're going to also keep the cached log-joint and gradient computation, which will then be out of sync with the parameters.

If you then naively pass this transition somewhere, say, into the next step call, AHMC.jl will use the incorrect logjoint eval in the MH step.

IMO the safe way is to use the explicit constructor of PhasePoint I believe without passing in the cached values. This should result in receomputation of this.

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just realized that model is not passed into setparams!!, I think for now, we only set the parameters, then when use the transition, logp should be recomputed. (we can also later introduce some like setlogp or compute_logp etc.) I'll add a comment in the code

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@yebai yebai Oct 22, 2024 •
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Agreed with @torfjelde's concern. Can we add logdensitymodel to

  • setparams!!(state, logdensitymodel, params)
  • getparam(state, logdensitymodel).

where logdensitymodel follows the LogDensityProblem interface. This would allow us to recompute the model's log probability (i.e., recompute_logp) inside these setparam!! functions on demand, which Turing's new Gibbs sampler uses.

return @set state.transition.z.θ = θ
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end

"""
$(TYPEDSIGNATURES)

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12 changes: 12 additions & 0 deletions test/abstractmcmc.jl
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Expand Up @@ -21,6 +21,18 @@ using Statistics: mean
LogDensityProblemsAD.ADgradient(Val(:ForwardDiff), ℓπ_gdemo),
)

@testset "getparams and setparams!!" begin
t, s = AbstractMCMC.step(rng, model, nuts;)

θ = AbstractMCMC.getparams(s)
@test θ == t.z.θ
@test AbstractMCMC.setparams!!(s, θ) == s

new_θ = randn(rng, 2)
new_state = AbstractMCMC.setparams!!(s, new_θ)
@test AbstractMCMC.getparams(new_state) == new_θ
end

samples_nuts = AbstractMCMC.sample(
rng,
model,
Expand Down
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