Added testing of warmup steps

Author: torfjelde

test/sample.jl

@@ -575,6 +575,45 @@
         @test all(chain[i].b == ref_chain[i + discard_initial].b for i in 1:N)
     end
 
+    @testset "Warm-up steps" begin
+        # Create a chain and discard initial samples.
+        Random.seed!(1234)
+        N = 100
+        num_warmup = 50
+
+        # Everything should be discarded here.
+        chain = sample(MyModel(), MySampler(), N; num_warmup=num_warmup)
+        @test length(chain) == N
+        @test !ismissing(chain[1].a)
+
+        # Repeat sampling without discarding initial samples.
+        # On Julia < 1.6 progress logging changes the global RNG and hence is enabled here.
+        # https://github.com/TuringLang/AbstractMCMC.jl/pull/102#issuecomment-1142253258
+        Random.seed!(1234)
+        ref_chain = sample(
+            MyModel(), MySampler(), N + num_warmup; progress=VERSION < v"1.6"
+        )
+        @test all(chain[i].a == ref_chain[i + num_warmup].a for i in 1:N)
+        @test all(chain[i].b == ref_chain[i + num_warmup].b for i in 1:N)
+
+        # Some other stuff.
+        Random.seed!(1234)
+        discard_initial = 10
+        chain_warmup = sample(
+            MyModel(),
+            MySampler(),
+            N;
+            num_warmup=num_warmup,
+            discard_initial=discard_initial,
+        )
+        @test length(chain_warmup) == N
+        @test all(chain_warmup[i].a == ref_chain[i + discard_initial].a for i in 1:N)
+        # Check that the first `num_warmup - discard_initial` samples are warmup samples.
+        @test all(
+            chain_warmup[i].is_warmup == (i <= num_warmup - discard_initial) for i in 1:N
+        )
+    end
+
     @testset "Thin chain by a factor of `thinning`" begin
         # Run a thinned chain with `N` samples thinned by factor of `thinning`.
         Random.seed!(100)

test/utils.jl

@@ -3,8 +3,11 @@ struct MyModel <: AbstractMCMC.AbstractModel end
 struct MySample{A,B}
     a::A
     b::B
+    is_warmup::Bool
 end
 
+MySample(a, b) = MySample(a, b, false)
+
 struct MySampler <: AbstractMCMC.AbstractSampler end
 struct AnotherSampler <: AbstractMCMC.AbstractSampler end
 
@@ -16,6 +19,21 @@ end
 
 MyChain(a, b) = MyChain(a, b, NamedTuple())
 
+function AbstractMCMC.step_warmup(
+    rng::AbstractRNG,
+    model::MyModel,
+    sampler::MySampler,
+    state::Union{Nothing,Integer}=nothing;
+    loggers=false,
+    initial_params=nothing,
+    kwargs...,
+)
+    transition, state = AbstractMCMC.step(
+        rng, model, sampler, state; loggers, initial_params, kwargs...
+    )
+    return MySample(transition.a, transition.b, true), state
+end
+
 function AbstractMCMC.step(
     rng::AbstractRNG,
     model::MyModel,