MCMC

MCMC

class MCMC(kernel, num_samples, warmup_steps=None, num_chains=1, mp_context=None, disable_progbar=False)[source]

Bases: pyro.infer.abstract_infer.TracePosterior

Wrapper class for Markov Chain Monte Carlo algorithms. Specific MCMC algorithms are TraceKernel instances and need to be supplied as a kernel argument to the constructor.

Note

The case of num_chains > 1 uses python multiprocessing to run parallel chains in multiple processes. This goes with the usual caveats around multiprocessing in python, e.g. the model used to initialize the kernel must be serializable via pickle, and the performance / constraints will be platform dependent (e.g. only the “spawn” context is available in Windows). This has also not been extensively tested on the Windows platform.

Parameters:
  • kernel – An instance of the TraceKernel class, which when given an execution trace returns another sample trace from the target (posterior) distribution.
  • num_samples (int) – The number of samples that need to be generated, excluding the samples discarded during the warmup phase.
  • warmup_steps (int) – Number of warmup iterations. The samples generated during the warmup phase are discarded. If not provided, default is half of num_samples.
  • num_chains (int) – Number of MCMC chains to run in parallel. Depending on whether num_chains is 1 or more than 1, this class internally dispatches to either _SingleSampler or _ParallelSampler.
  • mp_context (str) – Multiprocessing context to use when num_chains > 1. Only applicable for Python 3.5 and above. Use mp_context=”spawn” for CUDA.
  • disable_progbar (bool) – Disable progress bar and diagnostics update.
marginal(sites=None)[source]

Marginalizes latent sites from the sampler.

Parameters:sites (list) – optional list of sites for which we need to generate the marginal distribution.
Returns:A MCMCMarginals class instance.
Return type:MCMCMarginals.
class MCMCMarginals(trace_posterior, sites=None, validate_args=None)[source]

Bases: pyro.infer.abstract_infer.Marginals

diagnostics()[source]

Gets some diagnostics statistics such as effective sample size and split Gelman-Rubin from the sampler.

HMC

class HMC(model, step_size=1, trajectory_length=None, num_steps=None, adapt_step_size=True, adapt_mass_matrix=True, full_mass=False, transforms=None, max_plate_nesting=None, jit_compile=False, jit_options=None, ignore_jit_warnings=False, target_accept_prob=0.8)[source]

Bases: pyro.infer.mcmc.trace_kernel.TraceKernel

Simple Hamiltonian Monte Carlo kernel, where step_size and num_steps need to be explicitly specified by the user.

References

[1] MCMC Using Hamiltonian Dynamics, Radford M. Neal

Parameters:
  • model – Python callable containing Pyro primitives.
  • step_size (float) – Determines the size of a single step taken by the verlet integrator while computing the trajectory using Hamiltonian dynamics. If not specified, it will be set to 1.
  • trajectory_length (float) – Length of a MCMC trajectory. If not specified, it will be set to step_size x num_steps. In case num_steps is not specified, it will be set to \(2\pi\).
  • num_steps (int) – The number of discrete steps over which to simulate Hamiltonian dynamics. The state at the end of the trajectory is returned as the proposal. This value is always equal to int(trajectory_length / step_size).
  • adapt_step_size (bool) – A flag to decide if we want to adapt step_size during warm-up phase using Dual Averaging scheme.
  • adapt_mass_matrix (bool) – A flag to decide if we want to adapt mass matrix during warm-up phase using Welford scheme.
  • full_mass (bool) – A flag to decide if mass matrix is dense or diagonal.
  • transforms (dict) – Optional dictionary that specifies a transform for a sample site with constrained support to unconstrained space. The transform should be invertible, and implement log_abs_det_jacobian. If not specified and the model has sites with constrained support, automatic transformations will be applied, as specified in torch.distributions.constraint_registry.
  • max_plate_nesting (int) – Optional bound on max number of nested pyro.plate() contexts. This is required if model contains discrete sample sites that can be enumerated over in parallel.
  • jit_compile (bool) – Optional parameter denoting whether to use the PyTorch JIT to trace the log density computation, and use this optimized executable trace in the integrator.
  • jit_options (dict) – A dictionary contains optional arguments for torch.jit.trace() function.
  • ignore_jit_warnings (bool) – Flag to ignore warnings from the JIT tracer when jit_compile=True. Default is False.
  • target_accept_prob (float) – Increasing this value will lead to a smaller step size, hence the sampling will be slower and more robust. Default to 0.8.

Note

Internally, the mass matrix will be ordered according to the order of the names of latent variables, not the order of their appearance in the model.

Example:

>>> true_coefs = torch.tensor([1., 2., 3.])
>>> data = torch.randn(2000, 3)
>>> dim = 3
>>> labels = dist.Bernoulli(logits=(true_coefs * data).sum(-1)).sample()
>>>
>>> def model(data):
...     coefs_mean = torch.zeros(dim)
...     coefs = pyro.sample('beta', dist.Normal(coefs_mean, torch.ones(3)))
...     y = pyro.sample('y', dist.Bernoulli(logits=(coefs * data).sum(-1)), obs=labels)
...     return y
>>>
>>> hmc_kernel = HMC(model, step_size=0.0855, num_steps=4)
>>> mcmc_run = MCMC(hmc_kernel, num_samples=500, warmup_steps=100).run(data)
>>> posterior = mcmc_run.marginal('beta').empirical['beta']
>>> posterior.mean  # doctest: +SKIP
tensor([ 0.9819,  1.9258,  2.9737])
cleanup()[source]
diagnostics()[source]
initial_trace

Find a valid trace to initiate the MCMC sampler. This is also used as a prototype trace to inter-convert between Pyro’s trace object and dict object used by the integrator.

inverse_mass_matrix
num_steps
sample(trace)[source]
setup(warmup_steps, *args, **kwargs)[source]
step_size

NUTS

class NUTS(model, step_size=1, adapt_step_size=True, adapt_mass_matrix=True, full_mass=False, use_multinomial_sampling=True, transforms=None, max_plate_nesting=None, jit_compile=False, jit_options=None, ignore_jit_warnings=False, target_accept_prob=0.8, max_tree_depth=10)[source]

Bases: pyro.infer.mcmc.hmc.HMC

No-U-Turn Sampler kernel, which provides an efficient and convenient way to run Hamiltonian Monte Carlo. The number of steps taken by the integrator is dynamically adjusted on each call to sample to ensure an optimal length for the Hamiltonian trajectory [1]. As such, the samples generated will typically have lower autocorrelation than those generated by the HMC kernel. Optionally, the NUTS kernel also provides the ability to adapt step size during the warmup phase.

Refer to the baseball example to see how to do Bayesian inference in Pyro using NUTS.

References

[1] The No-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo,
Matthew D. Hoffman, and Andrew Gelman.
[2] A Conceptual Introduction to Hamiltonian Monte Carlo,
Michael Betancourt
[3] Slice Sampling,
Radford M. Neal
Parameters:
  • model – Python callable containing Pyro primitives.
  • step_size (float) – Determines the size of a single step taken by the verlet integrator while computing the trajectory using Hamiltonian dynamics. If not specified, it will be set to 1.
  • adapt_step_size (bool) – A flag to decide if we want to adapt step_size during warm-up phase using Dual Averaging scheme.
  • adapt_mass_matrix (bool) – A flag to decide if we want to adapt mass matrix during warm-up phase using Welford scheme.
  • full_mass (bool) – A flag to decide if mass matrix is dense or diagonal.
  • use_multinomial_sampling (bool) – A flag to decide if we want to sample candidates along its trajectory using “multinomial sampling” or using “slice sampling”. Slice sampling is used in the original NUTS paper [1], while multinomial sampling is suggested in [2]. By default, this flag is set to True. If it is set to False, NUTS uses slice sampling.
  • transforms (dict) – Optional dictionary that specifies a transform for a sample site with constrained support to unconstrained space. The transform should be invertible, and implement log_abs_det_jacobian. If not specified and the model has sites with constrained support, automatic transformations will be applied, as specified in torch.distributions.constraint_registry.
  • max_plate_nesting (int) – Optional bound on max number of nested pyro.plate() contexts. This is required if model contains discrete sample sites that can be enumerated over in parallel.
  • jit_compile (bool) – Optional parameter denoting whether to use the PyTorch JIT to trace the log density computation, and use this optimized executable trace in the integrator.
  • jit_options (dict) – A dictionary contains optional arguments for torch.jit.trace() function.
  • ignore_jit_warnings (bool) – Flag to ignore warnings from the JIT tracer when jit_compile=True. Default is False.
  • target_accept_prob (float) – Target acceptance probability of step size adaptation scheme. Increasing this value will lead to a smaller step size, so the sampling will be slower but more robust. Default to 0.8.
  • max_tree_depth (int) – Max depth of the binary tree created during the doubling scheme of NUTS sampler. Default to 10.

Example:

>>> true_coefs = torch.tensor([1., 2., 3.])
>>> data = torch.randn(2000, 3)
>>> dim = 3
>>> labels = dist.Bernoulli(logits=(true_coefs * data).sum(-1)).sample()
>>>
>>> def model(data):
...     coefs_mean = torch.zeros(dim)
...     coefs = pyro.sample('beta', dist.Normal(coefs_mean, torch.ones(3)))
...     y = pyro.sample('y', dist.Bernoulli(logits=(coefs * data).sum(-1)), obs=labels)
...     return y
>>>
>>> nuts_kernel = NUTS(model, adapt_step_size=True)
>>> mcmc_run = MCMC(nuts_kernel, num_samples=500, warmup_steps=300).run(data)
>>> posterior = mcmc_run.marginal('beta').empirical['beta']
>>> posterior.mean  # doctest: +SKIP
tensor([ 0.9221,  1.9464,  2.9228])
sample(trace)[source]