Merge pull request #23 from FredericWantiez/feature/traced_rng

Fix forkr - Handle rng in Trace

Author: yebai

Project.toml

@@ -1,18 +1,20 @@
 name = "AdvancedPS"
 uuid = "576499cb-2369-40b2-a588-c64705576edc"
 authors = ["TuringLang"]
-version = "0.2.4"
+version = "0.3.0"
 
 [deps]
 AbstractMCMC = "80f14c24-f653-4e6a-9b94-39d6b0f70001"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 Libtask = "6f1fad26-d15e-5dc8-ae53-837a1d7b8c9f"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
+Random123 = "74087812-796a-5b5d-8853-05524746bad3"
 StatsFuns = "4c63d2b9-4356-54db-8cca-17b64c39e42c"
 
 [compat]
 AbstractMCMC = "2, 3"
 Distributions = "0.23, 0.24, 0.25"
 Libtask = "0.5.3"
+Random123 = "1.3"
 StatsFuns = "0.9"
 julia = "1.3"

src/AdvancedPS.jl

@@ -5,8 +5,10 @@ using Distributions: Distributions
 using Libtask: Libtask
 using Random: Random
 using StatsFuns: StatsFuns
+using Random123: Random123
 
 include("resampling.jl")
+include("rng.jl")
 include("container.jl")
 include("smc.jl")
 include("model.jl")

src/container.jl

@@ -1,31 +1,43 @@
-struct Trace{F}
+struct Trace{F,U,N,V<:Random123.AbstractR123{U}}
     f::F
     ctask::Libtask.CTask
+    rng::TracedRNG{U,N,V}
 end
 
 const Particle = Trace
 
-function Trace(f)
+function Trace(f, rng::TracedRNG)
     ctask = let f = f
         Libtask.CTask() do
-            res = f()
+            res = f(rng)
             Libtask.produce(nothing)
             return res
         end
     end
 
     # add backward reference
-    newtrace = Trace(f, ctask)
+    newtrace = Trace(f, ctask, rng)
     addreference!(ctask.task, newtrace)
 
     return newtrace
 end
 
-Base.copy(trace::Trace) = Trace(trace.f, copy(trace.ctask))
+function Trace(f, ctask::Libtask.CTask)
+    return Trace(f, ctask, TracedRNG())
+end
+
+# Copy task
+Base.copy(trace::Trace) = Trace(trace.f, copy(trace.ctask), deepcopy(trace.rng))
 
 # step to the next observe statement and
 # return the log probability of the transition (or nothing if done)
-advance!(t::Trace) = Libtask.consume(t.ctask)
+function advance!(t::Trace, isref::Bool)
+    isref ? load_state!(t.rng) : save_state!(t.rng)
+    inc_counter!(t.rng)
+
+    # Move to next step
+    return Libtask.consume(t.ctask)
+end
 
 # reset log probability
 reset_logprob!(t::Trace) = nothing
@@ -48,16 +60,18 @@ end
 # Create new task and copy randomness
 function forkr(trace::Trace)
     newf = reset_model(trace.f)
+    Random123.set_counter!(trace.rng, 1)
+
     ctask = let f = trace.ctask.task.code
         Libtask.CTask() do
-            res = f()
+            res = f()(trace.rng)
             Libtask.produce(nothing)
             return res
         end
     end
 
     # add backward reference
-    newtrace = Trace(newf, ctask)
+    newtrace = Trace(newf, ctask, trace.rng)
     addreference!(ctask.task, newtrace)
 
     return newtrace
@@ -81,15 +95,21 @@ Data structure for particle filters
 - normalise!(pc::ParticleContainer)
 - consume(pc::ParticleContainer): return incremental likelihood
 """
-mutable struct ParticleContainer{T<:Particle}
+mutable struct ParticleContainer{T<:Particle,U,N,V<:Random123.AbstractR123{U}}
     "Particles."
     vals::Vector{T}
     "Unnormalized logarithmic weights."
     logWs::Vector{Float64}
+    "Traced RNG to replay the resampling step"
+    rng::TracedRNG{U,N,V}
 end
 
 function ParticleContainer(particles::Vector{<:Particle})
-    return ParticleContainer(particles, zeros(length(particles)))
+    return ParticleContainer(particles, zeros(length(particles)), TracedRNG())
+end
+
+function ParticleContainer(particles::Vector{<:Particle}, r::TracedRNG)
+    return ParticleContainer(particles, zeros(length(particles)), r)
 end
 
 Base.collect(pc::ParticleContainer) = pc.vals
@@ -116,7 +136,10 @@ function Base.copy(pc::ParticleContainer)
     # copy weights
     logWs = copy(pc.logWs)
 
-    return ParticleContainer(vals, logWs)
+    # Copy rng and states
+    rng = copy(pc.rng)
+
+    return ParticleContainer(vals, logWs, rng)
 end
 
 """
@@ -170,6 +193,22 @@ function effectiveSampleSize(pc::ParticleContainer)
     return inv(sum(abs2, Ws))
 end
 
+"""
+    update_keys!(pc::ParticleContainer)
+
+Create new unique keys for the particles in the ParticleContainer
+"""
+function update_keys!(pc::ParticleContainer, ref::Union{Particle,Nothing}=nothing)
+    # Update keys to new particle ids
+    nparticles = length(pc)
+    n = ref === nothing ? nparticles : nparticles - 1
+    for i in 1:n
+        pi = pc.vals[i]
+        k = split(pi.rng.rng.key)
+        Random.seed!(pi.rng, k[1])
+    end
+end
+
 """
     resample_propagate!(rng, pc::ParticleContainer[, randcat = resample_systematic,
                         ref = nothing; weights = getweights(pc)])
@@ -213,11 +252,17 @@ function resample_propagate!(
             pi = particles[i]
             isref = pi === ref
             p = isref ? fork(pi, isref) : pi
-            children[j += 1] = p
+            nseeds = isref ? ni - 1 : ni
+
+            seeds = split(p.rng.rng.key, nseeds)
+            !isref && Random.seed!(p.rng, seeds[1])
 
+            children[j += 1] = p
             # fork additional children
-            for _ in 2:ni
-                children[j += 1] = fork(p, isref)
+            for k in 2:ni
+                part = fork(p, isref)
+                Random.seed!(part.rng, seeds[k])
+                children[j += 1] = part
             end
         end
     end
@@ -247,6 +292,8 @@ function resample_propagate!(
 
     if ess ≤ resampler.threshold * length(pc)
         resample_propagate!(rng, pc, resampler.resampler, ref; weights=weights)
+    else
+        update_keys!(pc, ref)
     end
 
     return pc
@@ -258,7 +305,7 @@ end
 Check if the final time step is reached, and otherwise reweight the particles by
 considering the next observation.
 """
-function reweight!(pc::ParticleContainer)
+function reweight!(pc::ParticleContainer, ref::Union{Particle,Nothing}=nothing)
     n = length(pc)
 
     particles = collect(pc)
@@ -270,7 +317,8 @@ function reweight!(pc::ParticleContainer)
         # the execution of the model is finished.
         # Here ``yᵢ`` are observations, ``xᵢ`` variables of the particle filter, and
         # ``θᵢ`` are variables of other samplers.
-        score = advance!(p)
+        isref = p === ref
+        score = advance!(p, isref)
 
         if score === nothing
             numdone += 1
@@ -321,7 +369,6 @@ function sweep!(
     ref::Union{Particle,Nothing}=nothing,
 )
     # Initial step:
-
     # Resample and propagate particles.
     resample_propagate!(rng, pc, resampler, ref)
 
@@ -333,7 +380,7 @@ function sweep!(
     logZ0 = logZ(pc)
 
     # Reweight the particles by including the first observation ``y₁``.
-    isdone = reweight!(pc)
+    isdone = reweight!(pc, ref)
 
     # Compute the normalizing constant ``Z₁`` after reweighting.
     logZ1 = logZ(pc)
@@ -351,7 +398,7 @@ function sweep!(
         logZ0 = logZ(pc)
 
         # Reweight the particles by including the next observation ``yₜ``.
-        isdone = reweight!(pc)
+        isdone = reweight!(pc, ref)
 
         # Compute the normalizing constant ``Z₁`` after reweighting.
         logZ1 = logZ(pc)

src/rng.jl

@@ -0,0 +1,85 @@
+# Default RNG type for when nothing is specified
+const _BASE_RNG = Random123.Philox2x
+
+"""
+    TracedRNG{R,N,T}
+
+Wrapped random number generator from Random123 to keep track of random streams during model evaluation
+"""
+mutable struct TracedRNG{R,N,T<:Random123.AbstractR123{R}} <: Random.AbstractRNG
+    "Model step counter"
+    count::Int
+    "Inner RNG"
+    rng::T
+    "Array of keys"
+    keys::Array{R,N}
+end
+
+"""
+    TracedRNG(r::Random123.AbstractR123=AdvancedPS._BASE_RNG())
+Create a `TracedRNG` with `r` as the inner RNG. 
+"""
+function TracedRNG(r::Random123.AbstractR123=_BASE_RNG())
+    Random123.set_counter!(r, 0)
+    return TracedRNG(1, r, typeof(r.key)[])
+end
+
+# Connect to the Random API
+Random.rng_native_52(rng::TracedRNG) = Random.rng_native_52(rng.rng)
+Base.rand(rng::TracedRNG, ::Type{T}) where {T} = Base.rand(rng.rng, T)
+
+"""
+    split(key::Integer, n::Integer=1)
+
+Split `key` into `n` new keys
+"""
+function split(key::Integer, n::Integer=1)
+    T = typeof(key) # Make sure the type of `key` is consistent on W32 and W64 systems. 
+    return T[hash(key, i) for i in UInt(1):UInt(n)]
+end
+
+"""
+    load_state!(r::TracedRNG)
+
+Load state from current model iteration. Random streams are now replayed
+"""
+function load_state!(rng::TracedRNG)
+    key = rng.keys[rng.count]
+    Random.seed!(rng.rng, key)
+    return Random123.set_counter!(rng.rng, 0)
+end
+
+"""
+    update_rng!(rng::TracedRNG)
+
+Set key and counter of inner rng in `rng` to `key` and the running model step to 0
+"""
+function Random.seed!(rng::TracedRNG, key)
+    Random.seed!(rng.rng, key)
+    return Random123.set_counter!(rng.rng, 0)
+end
+
+""" 
+    save_state!(r::TracedRNG)
+
+Add current key of the inner rng in `r` to `keys`.
+"""
+function save_state!(r::TracedRNG)
+    return push!(r.keys, r.rng.key)
+end
+
+Base.copy(r::TracedRNG) = TracedRNG(r.count, copy(r.rng), deepcopy(r.keys))
+
+"""
+    set_counter!(r::TracedRNG, n::Integer)
+
+Set the counter of the inner rng in `r`, used to keep track of the current model step
+"""
+Random123.set_counter!(r::TracedRNG, n::Integer) = r.count = n
+
+"""
+    inc_counter!(r::TracedRNG, n::Integer=1)
+
+Increase the model step counter by `n`
+"""
+inc_counter!(r::TracedRNG, n::Integer=1) = r.count += n

src/smc.jl

@@ -38,7 +38,9 @@ function AbstractMCMC.sample(
     end
 
     # Create a set of particles.
-    particles = ParticleContainer([Trace(model) for _ in 1:(sampler.nparticles)])
+    particles = ParticleContainer(
+        [Trace(model, TracedRNG()) for _ in 1:(sampler.nparticles)], TracedRNG()
+    )
 
     # Perform particle sweep.
     logevidence = sweep!(rng, particles, sampler.resampler)
@@ -83,7 +85,9 @@ function AbstractMCMC.step(
     rng::Random.AbstractRNG, model::AbstractMCMC.AbstractModel, sampler::PG; kwargs...
 )
     # Create a new set of particles.
-    particles = ParticleContainer([Trace(model) for _ in 1:(sampler.nparticles)])
+    particles = ParticleContainer(
+        [Trace(model, TracedRNG()) for _ in 1:(sampler.nparticles)], TracedRNG()
+    )
 
     # Perform a particle sweep.
     logevidence = sweep!(rng, particles, sampler.resampler)
@@ -108,10 +112,10 @@ function AbstractMCMC.step(
             # Create reference trajectory.
             forkr(state.trajectory)
         else
-            Trace(model)
+            Trace(model, TracedRNG())
         end
     end
-    particles = ParticleContainer(x)
+    particles = ParticleContainer(x, TracedRNG())
 
     # Perform a particle sweep.
     logevidence = sweep!(rng, particles, sampler.resampler, particles.vals[nparticles])

test/Project.toml

@@ -3,10 +3,12 @@ AbstractMCMC = "80f14c24-f653-4e6a-9b94-39d6b0f70001"
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"
 Libtask = "6f1fad26-d15e-5dc8-ae53-837a1d7b8c9f"
 Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c"
+Random123 = "74087812-796a-5b5d-8853-05524746bad3"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [compat]
 AbstractMCMC = "2, 3"
 Distributions = "0.24, 0.25"
 Libtask = "0.5"
 julia = "1.3"
+Random123 = "1.3"