Merge pull request #404 from vpratz/feat-integration-schedule

Enable integration with fixed, non-uniform schedule.

Author: vpratz

bayesflow/utils/integrate.py

@@ -1,8 +1,9 @@
-from collections.abc import Callable
+from collections.abc import Callable, Sequence
 from functools import partial
 
 import keras
 
+import numpy as np
 from typing import Literal
 
 from bayesflow.types import Tensor
@@ -233,21 +234,62 @@ def body(_state, _time, _step_size, _step):
     return state
 
 
+def integrate_scheduled(
+    fn: Callable,
+    state: dict[str, ArrayLike],
+    steps: Tensor | np.ndarray,
+    method: str = "rk45",
+    **kwargs,
+) -> dict[str, ArrayLike]:
+    match method:
+        case "euler":
+            step_fn = euler_step
+        case "rk45":
+            step_fn = rk45_step
+        case str() as name:
+            raise ValueError(f"Unknown integration method name: {name!r}")
+        case other:
+            raise TypeError(f"Invalid integration method: {other!r}")
+
+    step_fn = partial(step_fn, fn, **kwargs, use_adaptive_step_size=False)
+
+    def body(_loop_var, _loop_state):
+        _time = steps[_loop_var]
+        step_size = steps[_loop_var + 1] - steps[_loop_var]
+
+        _loop_state, _, _ = step_fn(_loop_state, _time, step_size)
+        return _loop_state
+
+    state = keras.ops.fori_loop(0, len(steps) - 1, body, state)
+    return state
+
+
 def integrate(
     fn: Callable,
     state: dict[str, ArrayLike],
-    start_time: ArrayLike,
-    stop_time: ArrayLike,
+    start_time: ArrayLike | None = None,
+    stop_time: ArrayLike | None = None,
     min_steps: int = 10,
     max_steps: int = 10_000,
-    steps: int | Literal["adaptive"] = 100,
+    steps: int | Literal["adaptive"] | Tensor | np.ndarray = 100,
     method: str = "euler",
     **kwargs,
 ) -> dict[str, ArrayLike]:
-    match steps:
-        case "adaptive" | "dynamic":
-            return integrate_adaptive(fn, state, start_time, stop_time, min_steps, max_steps, method, **kwargs)
-        case int():
-            return integrate_fixed(fn, state, start_time, stop_time, steps, method, **kwargs)
-        case _:
-            raise RuntimeError("Type or value of `steps` not understood.")
+    if isinstance(steps, str) and steps in ["adaptive", "dynamic"]:
+        if start_time is None or stop_time is None:
+            raise ValueError(
+                "Please provide start_time and stop_time for the integration, was "
+                f"'start_time={start_time}', 'stop_time={stop_time}'."
+            )
+        return integrate_adaptive(fn, state, start_time, stop_time, min_steps, max_steps, method, **kwargs)
+    elif isinstance(steps, int):
+        if start_time is None or stop_time is None:
+            raise ValueError(
+                "Please provide start_time and stop_time for the integration, was "
+                f"'start_time={start_time}', 'stop_time={stop_time}'."
+            )
+        return integrate_fixed(fn, state, start_time, stop_time, steps, method, **kwargs)
+    elif isinstance(steps, Sequence) or isinstance(steps, np.ndarray) or keras.ops.is_tensor(steps):
+        return integrate_scheduled(fn, state, steps, method, **kwargs)
+    else:
+        raise RuntimeError(f"Type or value of `steps` not understood (steps={steps})")

tests/test_utils/__init__.py

@@ -0,0 +1,11 @@
+def test_scheduled_integration():
+    import keras
+    from bayesflow.utils import integrate
+
+    def fn(t, x):
+        return {"x": t**2}
+
+    steps = keras.ops.convert_to_tensor([0.0, 0.5, 1.0])
+    approximate_result = 0.0 + 0.5**2 * 0.5
+    result = integrate(fn, {"x": 0.0}, steps=steps)["x"]
+    assert result == approximate_result