Add Stochastic Gradient HMC

src/AdvancedHMC.jl

@@ -125,7 +125,7 @@ include("sampler.jl")
 export sample
 
 include("constructors.jl")
-export HMCSampler, HMC, NUTS, HMCDA
+export HMCSampler, HMC, NUTS, HMCDA, SGHMC
 
 include("abstractmcmc.jl")
 

src/abstractmcmc.jl

@@ -205,6 +205,120 @@ function AbstractMCMC.step(
     return Transition(t.z, tstat), newstate
 end
 
+struct SGHMCState{
+    TTrans<:Transition,
+    TMetric<:AbstractMetric,
+    TKernel<:AbstractMCMCKernel,
+    TAdapt<:Adaptation.AbstractAdaptor,
+    T<:AbstractVector{<:Real},
+}
+    "Index of current iteration."
+    i::Int
+    "Current [`Transition`](@ref)."
+    transition::TTrans
+    "Current [`AbstractMetric`](@ref), possibly adapted."
+    metric::TMetric
+    "Current [`AbstractMCMCKernel`](@ref)."
+    κ::TKernel
+    "Current [`AbstractAdaptor`](@ref)."
+    adaptor::TAdapt
+    velocity::T
+end
+getadaptor(state::SGHMCState) = state.adaptor
+getmetric(state::SGHMCState) = state.metric
+getintegrator(state::SGHMCState) = state.κ.τ.integrator
+
+function AbstractMCMC.step(
+    rng::Random.AbstractRNG,
+    model::AbstractMCMC.LogDensityModel,
+    spl::SGHMC;
+    initial_params=nothing,
+    kwargs...,
+)
+    # Unpack model
+    logdensity = model.logdensity
+
+    # Define metric
+    metric = make_metric(spl, logdensity)
+
+    # Construct the hamiltonian using the initial metric
+    hamiltonian = Hamiltonian(metric, model)
+
+    # Compute initial sample and state.
+    initial_params = make_initial_params(rng, spl, logdensity, initial_params)
+    ϵ = make_step_size(rng, spl, hamiltonian, initial_params)
+    integrator = make_integrator(spl, ϵ)
+
+    # Make kernel
+    κ = make_kernel(spl, integrator)
+
+    # Make adaptor
+    adaptor = make_adaptor(spl, metric, integrator)
+
+    # Get an initial sample.
+    h, t = AdvancedHMC.sample_init(rng, hamiltonian, initial_params)
+
+    state = SGHMCState(0, t, metric, κ, adaptor, initial_params)
+
+    return AbstractMCMC.step(rng, model, spl, state; kwargs...)
+end
+
+function AbstractMCMC.step(
+    rng::AbstractRNG,
+    model::AbstractMCMC.LogDensityModel,
+    spl::SGHMC,
+    state::SGHMCState;
+    n_adapts::Int=0,
+    kwargs...,
+)
+    if haskey(kwargs, :nadapts)
+        throw(
+            ArgumentError(
+                "keyword argument `nadapts` is unsupported. Please use `n_adapts` to specify the number of adaptation steps.",
+            ),
+        )
+    end
+
+    i = state.i + 1
+    t_old = state.transition
+    adaptor = state.adaptor
+    κ = state.κ
+    metric = state.metric
+
+    # Reconstruct hamiltonian.
+    h = Hamiltonian(metric, model)
+
+    # Compute gradient of log density.
+    logdensity_and_gradient = Base.Fix1(
+        LogDensityProblems.logdensity_and_gradient, model.logdensity
+    )
+    θ = copy(t_old.z.θ)
+    grad = last(logdensity_and_gradient(θ))
+
+    # Update latent variables and velocity according to
+    # equation (15) of Chen et al. (2014)
+    v = state.velocity
+    η = spl.learning_rate
+    α = spl.momentum_decay
+    newv = (1 - α) .* v .+ η .* grad .+ sqrt(2 * η * α) .* randn(rng, eltype(v), length(v))
+    θ .+= newv
+
+    # Make new transition.
+    z = phasepoint(h, θ, v)
+    t = transition(rng, h, κ, z)
+
+    # Adapt h and spl.
+    tstat = stat(t)
+    h, κ, isadapted = adapt!(h, κ, adaptor, i, n_adapts, θ, tstat.acceptance_rate)
+    tstat = merge(tstat, (is_adapt=isadapted,))
+
+    # Compute next sample and state.
+    sample = Transition(t.z, tstat)
+    newstate = SGHMCState(i, t, h.metric, κ, adaptor, newv)
+
+    return sample, newstate
+end
+
 ################
 ### Callback ###
 ################
@@ -392,6 +506,10 @@ function make_adaptor(spl::HMC, metric::AbstractMetric, integrator::AbstractInte
     return NoAdaptation()
 end
 
+function make_adaptor(spl::SGHMC, metric::AbstractMetric, integrator::AbstractIntegrator)
+    return NoAdaptation()
+end
+
 function make_adaptor(
     spl::HMCSampler, metric::AbstractMetric, integrator::AbstractIntegrator
 )
@@ -417,3 +535,7 @@ end
 function make_kernel(spl::HMCSampler, integrator::AbstractIntegrator)
     return spl.κ
 end
+
+function make_kernel(spl::SGHMC, integrator::AbstractIntegrator)
+    return HMCKernel(Trajectory{EndPointTS}(integrator, FixedNSteps(spl.n_leapfrog)))
+end

src/constructors.jl

@@ -163,3 +163,48 @@ function HMCDA(δ, λ; integrator=:leapfrog, metric=:diagonal)
 end
 
 sampler_eltype(::HMCDA{T}) where {T} = T
+
+########### Static Hamiltonian Monte Carlo ###########
+
+#############
+### SGHMC ###
+#############
+"""
+    SGHMC(learning_rate::Real, momentun_decay::Real, integrator = :leapfrog, metric = :diagonal)
+
+Stochastic Gradient Hamiltonian Monte Carlo sampler
+
+# Fields
+
+$(FIELDS)
+
+# Notes
+
+For more information, please view the following paper ([arXiv link](https://arxiv.org/abs/1402.4102)):
+
+- Chen, Tianqi, Emily Fox, and Carlos Guestrin. "Stochastic gradient hamiltonian monte carlo." International conference on machine learning. PMLR, 2014.
+"""
+struct SGHMC{T<:Real,I<:Union{Symbol,AbstractIntegrator},M<:Union{Symbol,AbstractMetric}} <:
+       AbstractHMCSampler
+    "Learning rate for the gradient descent."
+    learning_rate::T
+    "Momentum decay rate."
+    momentum_decay::T
+    "Number of leapfrog steps."
+    n_leapfrog::Int
+    "Choice of integrator, specified either using a `Symbol` or [`AbstractIntegrator`](@ref)"
+    integrator::I
+    "Choice of initial metric;  `Symbol` means it is automatically initialised. The metric type will be preserved during automatic initialisation and adaption."
+    metric::M
+end
+
+function SGHMC(
+    learning_rate, momentum_decay, n_leapfrog; integrator=:leapfrog, metric=:diagonal
+)
+    T = determine_sampler_eltype(
+        learning_rate, momentum_decay, n_leapfrog, integrator, metric
+    )
+    return SGHMC(T(learning_rate), T(momentum_decay), n_leapfrog, integrator, metric)
+end
+
+sampler_eltype(::SGHMC{T}) where {T} = T

test/abstractmcmc.jl

@@ -10,6 +10,7 @@ using Statistics: mean
     nuts = NUTS(0.8)
     hmc = HMC(100; integrator=Leapfrog(0.05))
     hmcda = HMCDA(0.8, 0.1)
+    sghmc = SGHMC(0.01, 0.1, 100)
 
     integrator = Leapfrog(1e-3)
     κ = AdvancedHMC.make_kernel(nuts, integrator)
@@ -111,6 +112,29 @@ using Statistics: mean
 
     @test m_est_hmc ≈ [49 / 24, 7 / 6] atol = RNDATOL
 
+    samples_sghmc = AbstractMCMC.sample(
+        rng,
+        model,
+        sghmc,
+        n_adapts + n_samples;
+        n_adapts=n_adapts,
+        initial_params=θ_init,
+        progress=false,
+        verbose=false,
+    )
+
+    # Transform back to original space.
+    # NOTE: We're not correcting for the `logabsdetjac` here since, but
+    # we're only interested in the mean it doesn't matter.
+    for t in samples_sghmc
+        t.z.θ .= invlink_gdemo(t.z.θ)
+    end
+    m_est_sghmc = mean(samples_sghmc) do t
+        t.z.θ
+    end
+
+    @test m_est_sghmc ≈ [49 / 24, 7 / 6] atol = RNDATOL
+
     samples_custom = AbstractMCMC.sample(
         rng,
         model,