allow specifying initial uncertainties

dev/doubleMM.jl

@@ -55,7 +55,7 @@ scatterplot(θMs_true[2,:], θMs[2,:])
 prob1o.θP
 scatterplot(vec(y_true), vec(y_pred))
 
-# still overestimating θMs
+# still overestimating θMs and θP
 
 () -> begin # with more iterations?
     prob2 = prob1o

src/AbstractHybridProblem.jl

@@ -1,19 +1,25 @@
 """
 Type to dispatch constructing data and network structures
-for different cases of hybrid problem setups
+for different cases of hybrid problem setups.
 
 For a specific prob, provide functions that specify details
 - `get_hybridproblem_MLapplicator`
+- `get_hybridproblem_transforms`
 - `get_hybridproblem_PBmodel`
 - `get_hybridproblem_neg_logden_obs`
 - `get_hybridproblem_par_templates`
-- `get_hybridproblem_transforms`
+- `get_hybridproblem_ϕunc`
 - `get_hybridproblem_train_dataloader` (default depends on `gen_hybridcase_synthetic`)
 optionally
 - `gen_hybridcase_synthetic`
 - `get_hybridproblem_n_covar` (defaults to number of rows in xM in train_dataloader )
 - `get_hybridproblem_float_type` (defaults to `eltype(θM)`)
-- `get_hybridproblem_cor_starts` (defaults to include all correlations: `(P=(1,), M=(1,))`)
+- `get_hybridproblem_cor_ends` (defaults to include all correlations: `(P=(1,), M=(1,))`)
+
+The initial value of parameters to estimate is spread
+- `ϕg`: parameter of the MLapplicator: returned by `get_hybridproblem_MLapplicator`
+- `ζP`: mean of the PBmodel parameters: returned by `get_hybridproblem_par_templates`
+- `ϕunc`: additional parameters of the approximte posterior: returned by `get_hybridproblem_ϕunc`
 """
 abstract type AbstractHybridProblem end;
 
@@ -64,6 +70,13 @@ Provide tuple of templates of ComponentVectors `θP` and `θM`.
 """
 function get_hybridproblem_par_templates end
 
+"""
+    get_hybridproblem_ϕunc(::AbstractHybridProblem; scenario)
+
+Provide a ComponentArray of the initial additional parameters of the approximate posterior.
+"""
+function get_hybridproblem_ϕunc end
+
 """
     get_hybridproblem_transforms(::AbstractHybridProblem; scenario)
 
@@ -143,7 +156,7 @@ function get_hybridproblem_train_dataloader(prob::AbstractHybridProblem; scenari
 end
 
 """
-    get_hybridproblem_cor_starts(prob::AbstractHybridProblem; scenario)
+    get_hybridproblem_cor_ends(prob::AbstractHybridProblem; scenario)
 
 Specify blocks in correlation matrices among parameters.
 Returns a NamedTuple.
@@ -159,6 +172,7 @@ then the first subrange starts at position 1 and the second subrange starts at p
 If there is only single block of all ML-predicted parameters being correlated 
 with each other then this block starts at position 1: `(P=(1,3), M=(1,))`.
 """
-function get_hybridproblem_cor_starts(prob::AbstractHybridProblem; scenario = ())
-    (P = (1,), M = (1,))
+function get_hybridproblem_cor_ends(prob::AbstractHybridProblem; scenario = ())
+    pt = get_hybridproblem_par_templates(prob; scenario)
+    (P = [length(pt.θP)], M = [length(pt.θM)])
 end

src/HybridProblem.jl

@@ -7,7 +7,7 @@
     py
     transP
     transM
-    cor_starts # = (P=(1,),M=(1,))
+    cor_ends # = (P=(1,),M=(1,))
     get_train_loader
     # inner constructor to constrain the types
     function HybridProblem(
@@ -20,8 +20,8 @@
             #train_loader::DataLoader,
             # return a function that constructs the trainloader based on n_batch
             get_train_loader::Function,
-            cor_starts::NamedTuple = (P = (1,), M = (1,)))
-        new(θP, θM, f, g, ϕg, py, transM, transP, cor_starts, get_train_loader)
+            cor_ends::NamedTuple = (P = [length(θP)], M = [length(θM)]))
+        new(θP, θM, f, g, ϕg, py, transM, transP, cor_ends, get_train_loader)
     end
 end
 
@@ -45,8 +45,8 @@
             get_hybridproblem_train_dataloader(rng::AbstractRNG, prob; scenario, kwargs...)
         end
     end
-    cor_starts = get_hybridproblem_cor_starts(prob; scenario)
-    HybridProblem(θP, θM, g, ϕg, f, py, transP, transM, get_train_loader, cor_starts)
+    cor_ends = get_hybridproblem_cor_ends(prob; scenario)
+    HybridProblem(θP, θM, g, ϕg, f, py, transP, transM, get_train_loader, cor_ends)
 end
 
 function update(prob::HybridProblem;
@@ -58,7 +58,7 @@
         transM::Union{Function, Bijectors.Transform} = prob.transM,
         transP::Union{Function, Bijectors.Transform} = prob.transP,
         get_train_loader::Function = prob.get_train_loader,
-        cor_starts::NamedTuple = prob.cor_starts)
+        cor_ends::NamedTuple = prob.cor_ends)
     # prob.θP = θP
     # prob.θM = θM
     # prob.f = f
@@ -67,15 +67,19 @@
     # prob.py = py
     # prob.transM = transM
     # prob.transP = transP
-    # prob.cor_starts = cor_starts
+    # prob.cor_ends = cor_ends
     # prob.get_train_loader = get_train_loader
-    HybridProblem(θP, θM, g, ϕg, f, py, transP, transM, get_train_loader, cor_starts)
+    HybridProblem(θP, θM, g, ϕg, f, py, transP, transM, get_train_loader, cor_ends)
 end
 
 function get_hybridproblem_par_templates(prob::HybridProblem; scenario::NTuple = ())
     (; θP = prob.θP, θM = prob.θM)
 end
 
+function get_hybridproblem_ϕunc(prob::HybridProblem; scenario::NTuple = ())
+    prob.ϕunc
+end
+
 function get_hybridproblem_neg_logden_obs(prob::HybridProblem; scenario::NTuple = ())
     prob.py
 end
@@ -102,8 +106,8 @@
     return prob.get_train_loader(rng; kwargs...)
 end
 
-function get_hybridproblem_cor_starts(prob::HybridProblem; scenario = ())
-    prob.cor_starts
+function get_hybridproblem_cor_ends(prob::HybridProblem; scenario = ())
+    prob.cor_ends
 end
 
 # function get_hybridproblem_float_type(prob::HybridProblem; scenario::NTuple = ()) 

src/HybridSolver.jl

@@ -49,17 +49,19 @@ function CommonSolve.solve(prob::AbstractHybridProblem, solver::HybridPosteriorS
     scenario, rng = Random.default_rng(), kwargs...)
     par_templates = get_hybridproblem_par_templates(prob; scenario)
     (; θP, θM) = par_templates
+    cor_ends = get_hybridproblem_cor_ends(prob; scenario)
     g, ϕg0 = get_hybridproblem_MLapplicator(prob; scenario);
     (; transP, transM) = get_hybridproblem_transforms(prob; scenario)
     (; ϕ, transPMs_batch, interpreters, get_transPMs, get_ca_int_PMs) = init_hybrid_params(
-        θP, θM, ϕg0, solver.n_batch; transP, transM);
+        θP, θM, cor_ends, ϕg0, solver.n_batch; transP, transM);
     use_gpu = (:use_Flux ∈ scenario)
     ϕ0 = use_gpu ? CuArray(ϕ) : ϕ # TODO replace CuArray by something more general
     train_loader = get_hybridproblem_train_dataloader(rng, prob; scenario, solver.n_batch)    
     f = get_hybridproblem_PBmodel(prob; scenario)
     py = get_hybridproblem_neg_logden_obs(prob; scenario)
     y_global_o = Float32[] # TODO
-    loss_elbo = get_loss_elbo(g, transPMs_batch, f, py, y_global_o, interpreters; solver.n_MC)
+    loss_elbo = get_loss_elbo(
+        g, transPMs_batch, f, py, y_global_o, interpreters; solver.n_MC, cor_ends)
     # test loss function once
     l0 = loss_elbo(ϕ0, rng, first(train_loader)...)
     optf = Optimization.OptimizationFunction((ϕ, data) -> loss_elbo(ϕ, rng, data...)[1],
@@ -84,12 +86,12 @@ The loss function takes in addition to ϕ, data that changes with minibatch
 - xP: drivers for the processmodel: Iterator of size n_site
 - y_o, y_unc: matrix of observations and uncertainties, sites in columns
 """
-function get_loss_elbo(g, transPMs, f, py, y_o_global, interpreters; n_MC)
-    let g = g, transPMs = transPMs, f = f, py=py, y_o_global = y_o_global, n_MC = n_MC
-        interpreters = map(get_concrete, interpreters)
+function get_loss_elbo(g, transPMs, f, py, y_o_global, interpreters; n_MC, cor_ends)
+    let g = g, transPMs = transPMs, f = f, py=py, y_o_global = y_o_global, n_MC = n_MC,
+        cor_ends = cor_ends, interpreters = map(get_concrete, interpreters)
         function loss_elbo(ϕ, rng, xM, xP, y_o, y_unc)
             neg_elbo_transnorm_gf(rng, ϕ, g, transPMs, f, py,
-            xM, xP, y_o, y_unc, interpreters; n_MC)
+            xM, xP, y_o, y_unc, interpreters; n_MC, cor_ends)
         end
     end
 end

src/HybridVariationalInference.jl

@@ -31,6 +31,7 @@ export AbstractHybridProblem, get_hybridproblem_MLapplicator, get_hybridproblem_
        get_hybridproblem_par_templates, get_hybridproblem_transforms, get_hybridproblem_train_dataloader,
        get_hybridproblem_neg_logden_obs, 
        get_hybridproblem_n_covar, 
+       get_hybridproblem_cor_ends,
        #update,
        gen_cov_pred
 include("AbstractHybridProblem.jl")
@@ -53,13 +54,13 @@ include("util_ca.jl")
 export neg_logden_indep_normal, entropy_MvNormal
 include("logden_normal.jl")
 
-export get_ca_starts
+export get_ca_starts, get_ca_ends, get_cor_count
 include("cholesky.jl")
 
 export neg_elbo_transnorm_gf, predict_gf
 include("elbo.jl")
 
-export init_hybrid_params
+export init_hybrid_params, init_hybrid_ϕunc
 include("init_hybrid_params.jl")
 
 export AbstractHybridSolver, HybridPointSolver, HybridPosteriorSolver