def generate_figure_samples(samples_per_frame, n_frames, burnin = int(1e4)):
""" Generates the figure
:param samples_per_frame: number of sample steps between each frame
:param n_frames: number of frames to draw
:returns: None
:rtype: None
"""
n_samples = samples_per_frame * n_frames
ndims = 36
nbasis = 72
rand_val = rand(ndims,nbasis/2,density=0.25)
W = np.concatenate([rand_val.toarray(), -rand_val.toarray()],axis=1)
logalpha = np.random.randn(nbasis, 1)
poe = ProductOfT(nbatch=1, W=W, logalpha=logalpha)
## NUTS uses a different number of grad evals for each update step!!
## makes it very hard to compare against others w/ same number of update steps
# # NUTS
# print "NUTS"
# nuts_init = poe.Xinit[:, 0]
# nuts_samples = nuts6(poe.reset(), n_samples, nuts_burnin, nuts_init)[0]
# nuts_frames = [nuts_samples[f_idx * samples_per_frame, :] for f_idx in xrange(0, n_frames)]
# x_init = nuts_samples[0, :].reshape(ndims, 1)
## burnin
print "MJHMC burnin"
x_init = poe.Xinit #[:, [0]]
mjhmc = MarkovJumpHMC(distribution=poe.reset(), **mjhmc_params)
mjhmc.state = HMCState(x_init.copy(), mjhmc)
mjhmc_samples = mjhmc.sample(burnin)
print mjhmc_samples.shape
x_init = mjhmc_samples[:, [0]]
# control HMC
print "Control"
hmc = ControlHMC(distribution=poe.reset(), **control_params)
hmc.state = HMCState(x_init.copy(), hmc)
hmc_samples = hmc.sample(n_samples)
hmc_frames = [hmc_samples[:, f_idx * samples_per_frame].copy() for f_idx in xrange(0, n_frames)]
# MJHMC
print "MJHMC"
mjhmc = MarkovJumpHMC(distribution=poe.reset(), resample=False, **mjhmc_params)
mjhmc.state = HMCState(x_init.copy(), mjhmc)
mjhmc_samples = mjhmc.sample(n_samples)
mjhmc_frames = [mjhmc_samples[:, f_idx * samples_per_frame].copy() for f_idx in xrange(0, n_frames)]
print mjhmc.r_count, hmc.r_count
print mjhmc.l_count, hmc.l_count
print mjhmc.f_count, hmc.f_count
print mjhmc.fl_count, hmc.fl_count
frames = [mjhmc_frames, hmc_frames]
names = ['MJHMC', 'ControlHMC']
frame_grads = [f_idx * samples_per_frame for f_idx in xrange(0, n_frames)]
return frames, names, frame_grads
def generate_figure_samples(samples_per_frame, n_frames, burnin=int(1e4)):
""" Generates the figure
:param samples_per_frame: number of sample steps between each frame
:param n_frames: number of frames to draw
:returns: None
:rtype: None
"""
n_samples = samples_per_frame * n_frames
ndims = 36
nbasis = 72
rand_val = rand(ndims, nbasis / 2, density=0.25)
W = np.concatenate([rand_val.toarray(), -rand_val.toarray()], axis=1)
logalpha = np.random.randn(nbasis, 1)
poe = ProductOfT(nbatch=1, W=W, logalpha=logalpha)
## NUTS uses a different number of grad evals for each update step!!
## makes it very hard to compare against others w/ same number of update steps
# # NUTS
# print "NUTS"
# nuts_init = poe.Xinit[:, 0]
# nuts_samples = nuts6(poe.reset(), n_samples, nuts_burnin, nuts_init)[0]
# nuts_frames = [nuts_samples[f_idx * samples_per_frame, :] for f_idx in xrange(0, n_frames)]
# x_init = nuts_samples[0, :].reshape(ndims, 1)
## burnin
print "MJHMC burnin"
x_init = poe.Xinit # [:, [0]]
mjhmc = MarkovJumpHMC(distribution=poe.reset(), **mjhmc_params)
mjhmc.state = HMCState(x_init.copy(), mjhmc)
mjhmc_samples = mjhmc.sample(burnin)
print mjhmc_samples.shape
x_init = mjhmc_samples[:, [0]]
# control HMC
print "Control"
hmc = ControlHMC(distribution=poe.reset(), **control_params)
hmc.state = HMCState(x_init.copy(), hmc)
hmc_samples = hmc.sample(n_samples)
hmc_frames = [hmc_samples[:, f_idx * samples_per_frame].copy() for f_idx in xrange(0, n_frames)]
# MJHMC
print "MJHMC"
mjhmc = MarkovJumpHMC(distribution=poe.reset(), resample=False, **mjhmc_params)
mjhmc.state = HMCState(x_init.copy(), mjhmc)
mjhmc_samples = mjhmc.sample(n_samples)
mjhmc_frames = [mjhmc_samples[:, f_idx * samples_per_frame].copy() for f_idx in xrange(0, n_frames)]
print mjhmc.r_count, hmc.r_count
print mjhmc.l_count, hmc.l_count
print mjhmc.f_count, hmc.f_count
print mjhmc.fl_count, hmc.fl_count
frames = [mjhmc_frames, hmc_frames]
names = ["MJHMC", "ControlHMC"]
frame_grads = [f_idx * samples_per_frame for f_idx in xrange(0, n_frames)]
return frames, names, frame_grads
def check_variance():
""" Simple benchmark that estimates the variance a ton of times and writes to file the results
:returns: Nothing
:rtype: None
"""
from mjhmc.misc.gen_mj_init import generate_initialization
np.random.seed(2015)
poe = ProductOfT(nbatch=1000, ndims=36, nbasis=36)
var_estimates = []
for trial_idx in xrange(100):
_, var_estimate = generate_initialization(poe.reset())
var_estimates.append(var_estimate)
with open("var_log.txt", 'a') as vlog:
vlog.write("Trial {} variance {}\n".format(trial_idx, var_estimate))
vlog.write("Variance of variance estimates so far {}".format(np.var(var_estimates)))