Samplers

Octofitter directly supports three different samplers. Many additional samplers can be used through the LogDensityProblems.jl interface, but they are not tested.

The supported samplers are:

  • Pathfinder
  • AdvancedHMC (Hamltonian Monte Carlo, No U-Turn Sampler)
  • Pigeons

Workflow

When you're testing a new model and/or data, we recommend you test it quickly with Pathfinder (chains = octoquick(model)). This will return a rough approximation of the posterior and will pick up if it contains multiple modes.

If the posterior is unimodal (even if it has a complicated shape), go ahead and use AdvancedHMC (chains = octofit(model)). This uses a single computer core and is in many cases very efficient.

If the posterior is multimodal, and the modes are quite separated, then use Pigeons (chains, pt = octofit_pigeons(model, n_rounds=12)).

Read mode about these samplers below.

Pathfinder

If you would like a quick approximation to a posterior, you can use the function octoquick. This uses the multi-pathfinder approximate inference algorithm.

This is the same algorithm that Octofitter uses at the start of each call to octofit to warm up HMC and select a good starting point.

The useage of octoquick is similar to octofit:

results = octoquick(model)

This function accepts an nruns keyword argument to specify how many runs of pathfinder should be combined. These runs happen in parallel if julia is started with multiple threads (julia --threads=auto). The default of nruns is the lowest multiple of the number of threads greater than or equal to 16.

Hamiltonian Monte Carlo (NUTS)

The recommended choice for almost all problems is Hamiltonian Monte Carlo. It can be run using the octofit function. This sampling method makes use of derivative information, and is much more efficient. This package by default uses the No U-Turn sampler, as implemented in AdvancedHMC.jl.

Derviatives for a complex model are usualy tedious to code, but Octofitter uses ForwardDiff.jl to generate them automatically.

When using HMC, only a few chains are necessary. This is in contrast to Affine Invariant MCMC based packages where hundreds or thousands of walkers are required. One chain should be enough to cover the whole posterior, but you can run a few different chains to make sure each has converged to the same distribution.

Similarily, fewer samples are required. This is because unlike Affine Invariant MCMC, HMC produces samples that are much less correlated after each step (i.e. the autocorrelation time is much shorter).

octofit will internally use Pathfinder to warm up the sampler, reducing convergence times signficantly. This can be bypassed by passing pathfinder=false.

Usage

The method signature of octofit is as follows:

octofit(
    [rng::Random.AbstractRNG],
    model::Octofitter.LogDensityModel,
    target_accept::Number=0.8,
    adaptation=1000,
    iterations=1000,
    drop_warmup=true,
    max_depth=12,
    initial_samples=10_000,
    initial_parameters=nothing,
    step_size=nothing,
    verbosity=2,
    pathfinder = true,
    initial_samples= pathfinder ? 10_000 : 250_000,
)

The only required arguments are model, adaptation, and iterations. The two positional arguments are model, the model you wish to sample; and target_accept, the acceptance rate that should be targeted during windowed adaptation. During this time, the step size and mass matrix will be adapted (see AdvancedHMC.jl for more information). The number of steps taken during adaptation is controlled by adaptation. You can prevent these samples from being dropped by pasing include_adaptation=false. The total number of posterior samples produced are given by iterations. These include the adaptation steps that may be discarded. tree_depth controls the maximum tree depth of the sampler. initial_parameters is an optional way to pass a starting point for the chain. If you don't pass a default position, one will be selected by automatically using pathfinder. This automatic selection is recommended over a manually specified point.

Pigeons

Pigeons implements non-reversible parallel tempering. You can read more about it here: http://pigeons.run. Pigeons is slower if you only run it on a single (or a few) computer cores, but can scale up very well over many cores or compute nodes. It can reliably sample from multimodal posteriors.

Note

Pigeons must be installed as a separate package install it, run pkg> add Pigeons

Pigeons can be run locally with one or more Julia threads.

Note

octofit_pigeons scales very well across multiple cores. Start julia with julia --threads=auto to make sure you have multiple threads available for sampling.

You can get started with Pigeons by running:

using Pigeons
model = Octofitter.LogDensityModel(System)
chain, pt = octofit_pigeons(model)

The method signature of octofit_pigeons is as follows:

octofit_pigeons(
    target::Octofitter.LogDensityModel;
    n_rounds::Int,
    n_chains::Int=cld(8,Threads.nthreads())*Threads.nthreads(),
    pigeons_kw... # forwarded to Pigeons.Inputs
)

The default number of chains is 8, or if you have more than 8 threads avialable, the next highest multiple of 8. The number of chains should ideally be set to twice the value of Λ in the resulting report.

A nice feature of Pigeons is that you can resume sampler for additional rounds without having to start over:

pt = increment_n_rounds!(pt, 2)
chain, pt = octofit_pigeons(pt)

Advanced Usage: Additional Samplers

This section is for people interested in developing support for new samplers with Octofitter.

Octofitter converts your model specification into an Octofitter.LogDensityModel which implements the LogDensityProblems.jl interface.

That way, you can sample from your model using a wide variety of Julia based samplers. These samplers may return results in less convenient formats, and for example, may need you to map their results back to the natural domain of your variables using model.link or model.invlink.

For convenience, Octofitter bundles special support for the No U-Turn Sampler (NUTS) as implemented by AdvancedHMC.jl (see above).

In order to use the results of most other samplers, you will need a function to map results from their transformed variables back to their natural domain and reconstruct the chains:

# Results are in normalized parameter space and need to be mapped back to their constrained support

# Function to map the samples back to their natural domain
function remapchain(mc_samples)
    logpost = map(s->s.lp, mc_samples)
    # Transform samples back to constrained support
    samples = map(mc_samples) do s
        θ_t = s.params
        θ = model.invlink(θ_t)
        return θ
    end
    chain_res = model.arr2nt.(samples)
    chain = Octofitter.result2mcmcchain(chain_res)
    return MCMCChains.setinfo(
        chain,
        (;
            # start_time,
            # stop_time,
            model=model.system,
            logpost=logpost,
        )
    )
end

AdvancedMH

Here is an example of using a separate package to sample from a model–-in this case, AdvancedHM. For other packages, see their documentation for full details.

Note: this sampler does not work well and is just provided as a reference for how to use an arbitrary sampling package.

using AdvancedMH
using MCMCChains: Chains

# Construct model from a system (see elsewhere in docs)
model = Octofitter.LogDensityModel(system)

# Set up a random walk sampler with a joint multivariate Normal proposal.
using LinearAlgebra
spl = RWMH(MvNormal(zeros(model.D), I))

# Find initial guess by drawing from priors
initial_θ = Octofitter.guess_starting_position(model.system,50_000)[1]
initial_θ_t = model.link(initial_θ) # Map to unconstrainted parameterization

# Sample from the posterior.
chn_norm = sample(
    model,
    spl,
    1_000_000;
    chain_type=Any,
    init_params=initial_θ_t
)

chn_mh = remapchain(chn_norm)

Emcee (affine invariant sampler)

Warning

This example is under construction

We can use the AdvancedMH package to implement a sampler that is similar to emcee.py. This might be helpful for reproducing the results of packages like orbitize! that are based on this sampler, but is not recommended otherwise.

using AdvancedMH
using MCMCChains: MCMCChains, Chains, chainscat

# Construct model from a system (see elsewhere in docs)
model = Octofitter.LogDensityModel(system)

initial_θ = Octofitter.guess_starting_position(model.system,50_000)[1]
initial_θ_t = model.link(initial_θ) # Map to unconstrainted parameterization


using LinearAlgebra

# Set up our sampler with a joint multivariate Normal proposal.
spl = Ensemble(1_000, StretchProposal(MvNormal(zeros(model.D), I)))

# Sample from the posterior.
start_time = time()
chn_raw = sample(
    model,
    spl,
    1_000;
    chain_type=Any,
    init_params=initial_θ_t
)
stop_time = time()
# Results are in normalized parameter space and need to be mapped back to their constrained support

# Function to map the samples from all walkers back to their natural domain
function remapchain(mc_samples_by_chain)
    chains = map(mc_samples_by_chain) do mc_samples
        logpost = map(s->s.lp, mc_samples)
        # Transform samples back to constrained support
        samples = map(mc_samples) do s
            θ_t = s.params
            θ = model.invlink(θ_t)
            return θ
        end
        chain_res = model.arr2nt.(samples)
        chain = Octofitter.result2mcmcchain(chain_res)
        return MCMCChains.setinfo(
            chain,
            (;
                start_time,
                stop_time,
                model=model.system,
                logpost=logpost,
            )
        )
    end
    chainscat(chains...)
end
# Remap back to natural domain 
chn_all = remapchain(chn_raw)
# Discard some burn in
chn = chn_all[500:end,:,:];

Tempering

The package MCMCTempering can be used to temper most Julia MCMC samplers. Here is an example with AdvancedMH.

Note

MCMCTempering is under active development. The API might evolve, and you may need to ensure you're using the latest #main branch rather than published release.

using MCMCTempering, AdvancedMH, MCMCChains
MCMCTempering.getparams(transition::AdvancedMH.Transition) = transition.params

tempered_sampler = tempered(sampler, 25);

# Sample from the posterior.
chn_norm = sample(
    model, tempered_sampler, 1_000_000;
    discard_initial=100_000, chain_type=Any,
    init_params=initial_θ_t
)


chn = remapchain(chn_norm)

Customized NUTS Sampling

This example shows how to customize different aspects of the default NUTS sampler.

using AdvancedHMC
initial_θ = Octofitter.guess_starting_position(model.system,150_000)[1]
initial_θ_t = model.link(initial_θ)
metric = DenseEuclideanMetric(model.D)
hamiltonian = Hamiltonian(metric, model)
ϵ = find_good_stepsize(hamiltonian, initial_θ_t)

integrator = JitteredLeapfrog(ϵ, 0.1) # 10% normal distribution on step size to help in areas of high curvature. 
# integrator = Leapfrog(ϵ)
# κ = NUTS{MultinomialTS,GeneralisedNoUTurn}(integrator, max_depth=12)
κ = NUTS{SliceTS,GeneralisedNoUTurn}(integrator, max_depth=12)

mma = MassMatrixAdaptor(metric)
ssa = StepSizeAdaptor(0.75, integrator)
adaptor = StanHMCAdaptor(mma, ssa) 
sampler = AdvancedHMC.HMCSampler(κ, metric, adaptor)

# Sample from the posterior.
chn_norm = sample(
    # model, tempered_sampler, 500;
    model, sampler, 500,
    nadapts = 250,
    discard_initial=250, chain_type=Any,
    init_params=initial_θ_t
)

function remapchain(mc_samples::AbstractArray{<:AdvancedHMC.Transition})
    stat = map(s->s.stat, mc_samples)
    logpost = map(s->s.z.ℓπ.value, mc_samples)
    
    mean_accept = mean(getproperty.(stat, :acceptance_rate))
    ratio_divergent_transitions = mean(getproperty.(stat, :numerical_error))
    mean_tree_depth = mean(getproperty.(stat, :tree_depth))

    println("""
    Sampling report for chain:
    mean_accept         = $mean_accept
    ratio_divergent_transitions        = $ratio_divergent_transitions
    mean_tree_depth     = $mean_tree_depth\
    """)

    # Report some warnings if sampling did not work well
    if ratio_divergent_transitions == 1.0
        @error "Numerical errors encountered in ALL iterations. Check model and priors."
    elseif ratio_divergent_transitions > 0.1
        @warn "Numerical errors encountered in more than 10% of iterations" ratio_divergent_transitions
    end
    # Transform samples back to constrained support
    samples = map(mc_samples) do s
        θ_t = s.z.θ
        θ = model.invlink(θ_t)
        return θ
    end
    chain_res = model.arr2nt.(samples)
    chain = Octofitter.result2mcmcchain(chain_res)
    return MCMCChains.setinfo(
        chain,
        (;
            # start_time,
            # stop_time,
            model=model.system,
            logpost=logpost,
        )
    )
end

chn = remapchain(chn_norm)

Tempered NUTS

Combine the above AdvancedHMC example with the following:

Note

For this sampler to work well, a more careful adapation scheme is likely necessary.

using AdvancedHMC
using MCMCTempering
MCMCTempering.getparams(transition::AdvancedHMC.Transition) = transition.z.θ

sampler = AdvancedHMC.HMCSampler(κ, metric, adaptor)
tempered_sampler = tempered(sampler, 10);

# Sample from the posterior.
chn_norm = sample(
    model, tempered_sampler, 1000;
    nadapts = 500,
    discard_initial=0, chain_type=Any,
    init_params=initial_θ_t
)
chn_tempered = remapchain(chn_norm)

Hamiltonian Monte Carlo on the GPU

This example shows how one might deploy Octofitter with AdvancedHMC on a GPU. The No U-Turn Sampler is not well suited since it includes a dynamically chosen path length, but we can use a variant of static HMC.

Further work is likely necessary to ensure all observations are also stored on the GPU.

using AdvancedHMC, CUDA
initial_θ = Octofitter.guess_starting_position(model.system,150_000)[1]
initial_θ_t = model.link(initial_θ)
metric = DenseEuclideanMetric(model.D)
hamiltonian = Hamiltonian(metric, model)
ϵ = find_good_stepsize(hamiltonian, initial_θ_t)

integrator = JitteredLeapfrog(ϵ, 0.1)
N_steps = 15
κ = HMCKernel(Trajectory{EndPointTS}(integrator, FixedNSteps(N_steps)))

mma = MassMatrixAdaptor(metric)
ssa = StepSizeAdaptor(0.75, integrator)
adaptor = StanHMCAdaptor(mma, ssa) 
sampler = AdvancedHMC.HMCSampler(κ, metric, adaptor)

# Sample from the posterior.
chn_norm = sample(
    # model, tempered_sampler, 500;
    model, sampler, 50_000,
    nadapts = 10_000,
    discard_initial=10_000, chain_type=Any,
    init_params=initial_θ_t
)

function remapchain(mc_samples::AbstractArray{<:AdvancedHMC.Transition})
    stat = map(s->s.stat, mc_samples)
    logpost = map(s->s.z.ℓπ.value, mc_samples)
    
    mean_accept = mean(getproperty.(stat, :acceptance_rate))
    if hasproperty(first(mc_samples), :numerical_error)
        ratio_divergent_transitions = mean(getproperty.(stat, :numerical_error))
    else
        ratio_divergent_transitions = 0
    end
    if hasproperty(first(mc_samples), :tree_depth)
        mean_tree_depth = mean(getproperty.(stat, :tree_depth))
    else
        mean_tree_depth = N_steps
    end

    println("""
    Sampling report for chain:
    mean_accept         = $mean_accept
    ratio_divergent_transitions        = $ratio_divergent_transitions
    mean_tree_depth     = $mean_tree_depth\
    """)

    # Report some warnings if sampling did not work well
    if ratio_divergent_transitions == 1.0
        @error "Numerical errors encountered in ALL iterations. Check model and priors."
    elseif ratio_divergent_transitions > 0.1
        @warn "Numerical errors encountered in more than 10% of iterations" ratio_divergent_transitions
    end
    # Transform samples back to constrained support
    samples = map(mc_samples) do s
        θ_t = s.z.θ
        θ = model.invlink(θ_t)
        return θ
    end
    chain_res = model.arr2nt.(samples)
    chain = Octofitter.result2mcmcchain(chain_res)
    return MCMCChains.setinfo(
        chain,
        (;
            # start_time,
            # stop_time,
            model=model.system,
            logpost=logpost,
        )
    )
end

chn = remapchain(chn_norm)