def testMetropolisHastingsStep(self):
seed = self._make_seed(tfp_test_util.test_seed())
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=0.,
proposed_state=1.,
energy_change=-np.inf,
seed=seed)
self.assertAllEqual(1., accepted)
self.assertAllEqual(True, mh_extra.is_accepted)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=0.,
proposed_state=1.,
energy_change=np.inf,
seed=seed)
self.assertAllEqual(0., accepted)
self.assertAllEqual(False, mh_extra.is_accepted)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=0.,
proposed_state=1.,
energy_change=np.nan,
seed=seed)
self.assertAllEqual(0., accepted)
self.assertAllEqual(False, mh_extra.is_accepted)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=None,
proposed_state=1.,
energy_change=np.nan,
seed=seed)
self.assertAllEqual(1., accepted)
self.assertAllEqual(False, mh_extra.is_accepted)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=None,
proposed_state=1.,
log_uniform=-10.,
energy_change=-np.log(0.5),
seed=seed)
self.assertAllEqual(1., accepted)
self.assertAllEqual(True, mh_extra.is_accepted)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=None,
proposed_state=1.,
log_uniform=0.,
energy_change=-np.log(0.5),
seed=seed)
self.assertAllEqual(1., accepted)
self.assertAllEqual(False, mh_extra.is_accepted)
accepted, _ = fun_mcmc.metropolis_hastings_step(
current_state=tf.zeros(1000),
proposed_state=tf.ones(1000),
energy_change=-tf.math.log(0.5 * tf.ones(1000)),
seed=seed)
self.assertAllClose(0.5, tf.reduce_mean(accepted), rtol=0.1)
def testMetropolisHastingsStepStructure(self):
struct_type = collections.namedtuple('Struct', 'a, b')
current = struct_type([1, 2], (3, [4, [0, 0]]))
proposed = struct_type([5, 6], (7, [8, [0, 0]]))
accepted, is_accepted, _ = fun_mcmc.metropolis_hastings_step(
current_state=current, proposed_state=proposed, energy_change=-np.inf)
self.assertAllEqual(True, is_accepted)
self.assertAllEqual(tf.nest.flatten(proposed), tf.nest.flatten(accepted))
def testMetropolisHastingsStep(self):
seed = self._make_seed(_test_seed())
zero = self._constant(0.)
one = self._constant(1.)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=zero,
proposed_state=one,
energy_change=-np.inf,
seed=seed)
self.assertAllEqual(one, accepted)
self.assertAllEqual(True, mh_extra.is_accepted)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=zero, proposed_state=one, energy_change=np.inf, seed=seed)
self.assertAllEqual(zero, accepted)
self.assertAllEqual(False, mh_extra.is_accepted)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=zero, proposed_state=one, energy_change=np.nan, seed=seed)
self.assertAllEqual(zero, accepted)
self.assertAllEqual(False, mh_extra.is_accepted)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=zero, proposed_state=one, energy_change=np.nan, seed=seed)
self.assertAllEqual(zero, accepted)
self.assertAllEqual(False, mh_extra.is_accepted)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=zero,
proposed_state=one,
log_uniform=-one,
energy_change=self._constant(-np.log(0.5)),
seed=seed)
self.assertAllEqual(one, accepted)
self.assertAllEqual(True, mh_extra.is_accepted)
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=zero,
proposed_state=one,
log_uniform=zero,
energy_change=self._constant(-np.log(0.5)),
seed=seed)
self.assertAllEqual(zero, accepted)
self.assertAllEqual(False, mh_extra.is_accepted)
accepted, _ = fun_mcmc.metropolis_hastings_step(
current_state=tf.zeros(1000, dtype=self._dtype),
proposed_state=tf.ones(1000, dtype=self._dtype),
energy_change=-tf.math.log(0.5 * tf.ones(1000, dtype=self._dtype)),
seed=seed)
self.assertAllClose(0.5, tf.reduce_mean(accepted), rtol=0.1)
def testMetropolisHastingsStepStructure(self):
struct_type = collections.namedtuple('Struct', 'a, b')
current = struct_type([1, 2], (3, [4, [0, 0]]))
proposed = struct_type([5, 6], (7, [8, [0, 0]]))
accepted, mh_extra = fun_mcmc.metropolis_hastings_step(
current_state=current,
proposed_state=proposed,
energy_change=-np.inf,
seed=self._make_seed(_test_seed()))
self.assertAllEqual(True, mh_extra.is_accepted)
self.assertAllEqual(
util.flatten_tree(proposed), util.flatten_tree(accepted))
