Make ∂H∂r consistent with ∂H∂θ

HISTORY.md

@@ -1,5 +1,9 @@
 # AdvancedHMC Changelog
 
+## 0.9.0
+
+  - To compute the negative energy of a Hamiltonian `h` with parameter `θ` and momentum `r`, use `neg_energy(h, θ, r)` instead of `neg_energy(h, r, θ)`, which is now consistent with the common usage like `phasepoint(h, θ, r)`.
+
 ## 0.8.0
 
   - To make an MCMC transtion from phasepoint `z` using trajectory `τ`(or HMCKernel `κ`) under Hamiltonian `h`, use `transition(h, τ, z)` or `transition(rng, h, τ, z)`(if using HMCKernel, use `transition(h, κ, z)` or `transition(rng, h, κ, z)`).

Project.toml

@@ -1,6 +1,6 @@
 name = "AdvancedHMC"
 uuid = "0bf59076-c3b1-5ca4-86bd-e02cd72cde3d"
-version = "0.8.0"
+version = "0.9.0"
 
 [deps]
 AbstractMCMC = "80f14c24-f653-4e6a-9b94-39d6b0f70001"

docs/Project.toml

@@ -4,6 +4,6 @@ Documenter = "e30172f5-a6a5-5a46-863b-614d45cd2de4"
 DocumenterCitations = "daee34ce-89f3-4625-b898-19384cb65244"
 
 [compat]
-AdvancedHMC = "0.8"
+AdvancedHMC = "0.9"
 Documenter = "1"
 DocumenterCitations = "1"

src/hamiltonian.jl

@@ -67,11 +67,12 @@ function ∂H∂r(h::Hamiltonian{<:DenseEuclideanMetric,<:GaussianKinetic}, r::A
     return M⁻¹ * r
 end
 
-# TODO (kai) make the order of θ and r consistent with neg_energy
 # TODO (kai) add stricter types to block hamiltonian.jl#L37 from working on unknown metric/kinetic
 # The gradient of a position-dependent Hamiltonian system depends on both θ and r. 
 ∂H∂θ(h::Hamiltonian, θ::AbstractVecOrMat, r::AbstractVecOrMat) = ∂H∂θ(h, θ)
-∂H∂r(h::Hamiltonian, θ::AbstractVecOrMat, r::AbstractVecOrMat) = ∂H∂r(h, r)
+function ∂H∂r(h::Hamiltonian, θ::AbstractVecOrMat, r::AbstractVecOrMat)
+    return DualValue(neg_energy(h, θ, r), ∂H∂r(h, r))
+end
 
 struct PhasePoint{T<:AbstractVecOrMat{<:AbstractFloat},V<:DualValue}
     θ::T  # Position variables / model parameters.
@@ -101,7 +102,7 @@ function Base.similar(z::PhasePoint{<:AbstractVecOrMat{T}}) where {T<:AbstractFl
 end
 
 function phasepoint(
-    h::Hamiltonian, θ::T, r::T; ℓπ=∂H∂θ(h, θ), ℓκ=DualValue(neg_energy(h, r, θ), ∂H∂r(h, r))
+    h::Hamiltonian, θ::T, r::T; ℓπ=∂H∂θ(h, θ), ℓκ=∂H∂r(h, θ, r)
 ) where {T<:AbstractVecOrMat}
     return PhasePoint(θ, r, ℓπ, ℓκ)
 end
@@ -110,12 +111,7 @@ end
 # move the momentum variable to that of the position variable.
 # This is needed for AHMC to work with CuArrays and other Arrays (without depending on it).
 function phasepoint(
-    h::Hamiltonian,
-    θ::T1,
-    _r::T2;
-    r=safe_rsimilar(θ, _r),
-    ℓπ=∂H∂θ(h, θ),
-    ℓκ=DualValue(neg_energy(h, r, θ), ∂H∂r(h, r)),
+    h::Hamiltonian, θ::T1, _r::T2; r=safe_rsimilar(θ, _r), ℓπ=∂H∂θ(h, θ), ℓκ=∂H∂r(h, θ, r)
 ) where {T1<:AbstractVecOrMat,T2<:AbstractVecOrMat}
     return PhasePoint(θ, r, ℓπ, ℓκ)
 end
@@ -141,31 +137,31 @@ neg_energy(h::Hamiltonian, θ::AbstractVecOrMat) = h.ℓπ(θ)
 # GaussianKinetic
 
 function neg_energy(
-    h::Hamiltonian{<:UnitEuclideanMetric,<:GaussianKinetic}, r::T, θ::T
+    h::Hamiltonian{<:UnitEuclideanMetric,<:GaussianKinetic}, θ::T, r::T
 ) where {T<:AbstractVector}
     return -sum(abs2, r) / 2
 end
 
 function neg_energy(
-    h::Hamiltonian{<:UnitEuclideanMetric,<:GaussianKinetic}, r::T, θ::T
+    h::Hamiltonian{<:UnitEuclideanMetric,<:GaussianKinetic}, θ::T, r::T
 ) where {T<:AbstractMatrix}
     return -vec(sum(abs2, r; dims=1)) / 2
 end
 
 function neg_energy(
-    h::Hamiltonian{<:DiagEuclideanMetric,<:GaussianKinetic}, r::T, θ::T
+    h::Hamiltonian{<:DiagEuclideanMetric,<:GaussianKinetic}, θ::T, r::T
 ) where {T<:AbstractVector}
     return -sum(abs2.(r) .* h.metric.M⁻¹) / 2
 end
 
 function neg_energy(
-    h::Hamiltonian{<:DiagEuclideanMetric,<:GaussianKinetic}, r::T, θ::T
+    h::Hamiltonian{<:DiagEuclideanMetric,<:GaussianKinetic}, θ::T, r::T
 ) where {T<:AbstractMatrix}
     return -vec(sum(abs2.(r) .* h.metric.M⁻¹; dims=1)) / 2
 end
 
 function neg_energy(
-    h::Hamiltonian{<:DenseEuclideanMetric,<:GaussianKinetic}, r::T, θ::T
+    h::Hamiltonian{<:DenseEuclideanMetric,<:GaussianKinetic}, θ::T, r::T
 ) where {T<:AbstractVecOrMat}
     mul!(h.metric._temp, h.metric.M⁻¹, r)
     return -dot(r, h.metric._temp) / 2

src/riemannian/hamiltonian.jl

@@ -72,9 +72,10 @@
         end
         #! Eq (17) of Girolami & Calderhead (2011)
         θ_full = copy(θ_init)
-        term_1 = ∂H∂r(h, θ_init, r_half) # unchanged across the loop
+        term_1 = ∂H∂r(h, θ_init, r_half).gradient # unchanged across the loop
         for j in 1:(lf.n)
-            θ_full = θ_init + ϵ / 2 * (term_1 + ∂H∂r(h, θ_full, r_half))
+            grad_r = ∂H∂r(h, θ_full, r_half).gradient
+            θ_full = θ_init + ϵ / 2 * (term_1 + grad_r)
             # println("θ_full :", θ_full)
         end
         #! Eq (18) of Girolami & Calderhead (2011)
@@ -103,7 +104,6 @@
     return res
 end
 
-# TODO Make the order of θ and r consistent with neg_energy
 ∂H∂θ(h::Hamiltonian, θ::AbstractVecOrMat, r::AbstractVecOrMat) = ∂H∂θ(h, θ)
 ∂H∂r(h::Hamiltonian, θ::AbstractVecOrMat, r::AbstractVecOrMat) = ∂H∂r(h, r)
 
@@ -227,19 +227,15 @@
 # QUES Do we want to change everything to position dependent by default?
 # Add θ to ∂H∂r for DenseRiemannianMetric
 function phasepoint(
-    h::Hamiltonian{<:DenseRiemannianMetric},
-    θ::T,
-    r::T;
-    ℓπ=∂H∂θ(h, θ),
-    ℓκ=DualValue(neg_energy(h, r, θ), ∂H∂r(h, θ, r)),
+    h::Hamiltonian{<:DenseRiemannianMetric}, θ::T, r::T; ℓπ=∂H∂θ(h, θ), ℓκ=∂H∂r(h, θ, r)
 ) where {T<:AbstractVecOrMat}
     return PhasePoint(θ, r, ℓπ, ℓκ)
 end
 
 # Negative kinetic energy
 #! Eq (13) of Girolami & Calderhead (2011)
 function neg_energy(
-    h::Hamiltonian{<:DenseRiemannianMetric}, r::T, θ::T
+    h::Hamiltonian{<:DenseRiemannianMetric}, θ::T, r::T
 ) where {T<:AbstractVecOrMat}
     G = h.metric.map(h.metric.G(θ))
     D = size(G, 1)
@@ -347,12 +343,6 @@
     h::Hamiltonian{<:DenseRiemannianMetric}, θ::AbstractVecOrMat, r::AbstractVecOrMat
 )
     H = h.metric.G(θ)
-    # if !all(isfinite, H)
-    #     println("θ: ", θ)
-    #     println("H: ", H)
-    # end
     G = h.metric.map(H)
-    # return inv(G) * r
-    # println("G \ r: ", G \ r)
-    return G \ r # NOTE it's actually pretty weird that ∂H∂θ returns DualValue but ∂H∂r doesn't
+    return DualValue(neg_energy(h, θ, r), G \ r)
 end

src/riemannian/integrator.jl

@@ -74,9 +74,10 @@
         end
         # eq (17) of Girolami & Calderhead (2011)
         θ_full = θ_init
-        term_1 = ∂H∂r(h, θ_init, r_half) # unchanged across the loop
+        term_1 = ∂H∂r(h, θ_init, r_half).gradient # unchanged across the loop
         for j in 1:(lf.n)
-            θ_full = θ_init + ϵ / 2 * (term_1 + ∂H∂r(h, θ_full, r_half))
+            grad_r = ∂H∂r(h, θ_full, r_half).gradient
+            θ_full = θ_init + ϵ / 2 * (term_1 + grad_r)
         end
         # eq (18) of Girolami & Calderhead (2011)
         (; value, gradient) = ∂H∂θ(h, θ_full, r_half)

test/hamiltonian.jl

@@ -60,19 +60,19 @@ end
             r_init = randn(T, D)
 
             h = Hamiltonian(UnitEuclideanMetric(T, D), ℓπ, ∂ℓπ∂θ)
-            @test -AdvancedHMC.neg_energy(h, r_init, θ_init) == sum(abs2, r_init) / 2
+            @test -AdvancedHMC.neg_energy(h, θ_init, r_init) == sum(abs2, r_init) / 2
             @test AdvancedHMC.∂H∂r(h, r_init) == r_init
 
             M⁻¹ = ones(T, D) + abs.(randn(T, D))
             h = Hamiltonian(DiagEuclideanMetric(M⁻¹), ℓπ, ∂ℓπ∂θ)
-            @test -AdvancedHMC.neg_energy(h, r_init, θ_init) ≈
+            @test -AdvancedHMC.neg_energy(h, θ_init, r_init) ≈
                 r_init' * diagm(0 => M⁻¹) * r_init / 2
             @test AdvancedHMC.∂H∂r(h, r_init) == M⁻¹ .* r_init
 
             m = randn(T, D, D)
             M⁻¹ = m' * m
             h = Hamiltonian(DenseEuclideanMetric(M⁻¹), ℓπ, ∂ℓπ∂θ)
-            @test -AdvancedHMC.neg_energy(h, r_init, θ_init) ≈ r_init' * M⁻¹ * r_init / 2
+            @test -AdvancedHMC.neg_energy(h, θ_init, r_init) ≈ r_init' * M⁻¹ * r_init / 2
             @test AdvancedHMC.∂H∂r(h, r_init) == M⁻¹ * r_init
         end
     end
@@ -86,15 +86,15 @@ end
             r_init = ComponentArray(; a=randn(T, D), b=randn(T, D))
 
             h = Hamiltonian(UnitEuclideanMetric(T, 2 * D), ℓπ, ∂ℓπ∂θ)
-            @test -AdvancedHMC.neg_energy(h, r_init, θ_init) == sum(abs2, r_init) / 2
+            @test -AdvancedHMC.neg_energy(h, θ_init, r_init) == sum(abs2, r_init) / 2
             @test AdvancedHMC.∂H∂r(h, r_init) == r_init
             @test typeof(AdvancedHMC.∂H∂r(h, r_init)) == typeof(r_init)
 
             M⁻¹ = ComponentArray(;
                 a=ones(T, D) + abs.(randn(T, D)), b=ones(T, D) + abs.(randn(T, D))
             )
             h = Hamiltonian(DiagEuclideanMetric(M⁻¹), ℓπ, ∂ℓπ∂θ)
-            @test -AdvancedHMC.neg_energy(h, r_init, θ_init) ≈
+            @test -AdvancedHMC.neg_energy(h, θ_init, r_init) ≈
                 r_init' * diagm(0 => M⁻¹) * r_init / 2
             @test AdvancedHMC.∂H∂r(h, r_init) == M⁻¹ .* r_init
             @test typeof(AdvancedHMC.∂H∂r(h, r_init)) == typeof(r_init)
@@ -103,7 +103,7 @@ end
             ax = getaxes(r_init)[1]
             M⁻¹ = ComponentArray(m' * m, ax, ax)
             h = Hamiltonian(DenseEuclideanMetric(M⁻¹), ℓπ, ∂ℓπ∂θ)
-            @test -AdvancedHMC.neg_energy(h, r_init, θ_init) ≈ r_init' * M⁻¹ * r_init / 2
+            @test -AdvancedHMC.neg_energy(h, θ_init, r_init) ≈ r_init' * M⁻¹ * r_init / 2
             @test all(AdvancedHMC.∂H∂r(h, r_init) .== M⁻¹ * r_init)
             @test typeof(AdvancedHMC.∂H∂r(h, r_init)) == typeof(r_init)
         end