feat: Add Microcanonical Langevin Monte Carlo (MCLMC) kernel #2124
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Add MCLMC inference algorithm as a new MCMCKernel that wraps blackjax's MCLMC implementation. This provides an alternative gradient-based MCMC method to NUTS/HMC. Features: - MCLMC kernel with automatic step size and trajectory length tuning - Optional blackjax dependency with informative error message - postprocess_fn for constrained/unconstrained transformations - Diagnostics string for progress bar - Comprehensive test suite References: - Microcanonical Hamiltonian Monte Carlo (arXiv:2212.08549)
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Hey @reubenharry I tried using your branch, but I made a git mess 🙈 so I decided to open another one to get feedback (I will add you as a coauthor). Could you please check this one out and see if the implementation (and the tests) are as expected? |
Co-authored-by: reubenharry <[email protected]>
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I worry that we might introduce technical debt by depending on other libraries. Could we turn this into an example/tutorial instead? It's not clear to me the benefit of using numpyro here.
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Maybe adding a section for https://num.pyro.ai/en/stable/tutorials/other_samplers.html would be better? edit: #2035 has good discussion about the above points |
Sure! This was a first attempt at trying to see how it would fit. I agree this "optional" dependencies can be hard to maintain. So what about adding another section with this code in https://num.pyro.ai/en/stable/tutorials/other_samplers.html ? Or do we want an additional notebook with just a brief explanation of MCLMC? |
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on the other hand the optimal outcome would be that its very easy for numpyro users to use the sampler. if it's hidden in some tutorial... |
True 😄 . I do not have any strong opinion. I just wanted to bring this one alive. That being said, I have seen blackjax making breaking changes and this would be a pain to maintain indeed (in the notebook we would put a disclaimer about these potential changes) |
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how entangled is the blackjax implementation with the rest of blackjax? can the sampler be ripped out with minimal changes? |
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Trying to support #2039