tfp.experimental.mcmc.SequentialMonteCarlo

Sequential Monte Carlo transition kernel.

Inherits From: TransitionKernel

tfp.experimental.mcmc.SequentialMonteCarlo(
    propose_and_update_log_weights_fn,
    resample_fn=tfp.experimental.mcmc.resample_systematic,
    resample_criterion_fn=tfp.experimental.mcmc.ess_below_threshold, seed=None,
    name=None
)

Sequential Monte Carlo maintains a population of weighted particles representing samples from a sequence of target distributions. It is not a calibrated MCMC kernel: the transitions step through a sequence of target distributions, rather than trying to maintain a stationary distribution.

propose_and_update_log_weights_fn Python callable with signature new_weighted_particles = propose_and_update_log_weights_fn(step, weighted_particles, seed=None). Its input is a tfp.experimental.mcmc.WeightedParticles structure representing weighted samples (with normalized weights) from the stepth target distribution, and it returns another such structure representing unnormalized weighted samples from the next (step + 1th) target distribution. This will typically include particles sampled from a proposal distribution q(x[step + 1] | x[step]), and weights that account for some or all of: the proposal density, a transition density p(x[step + 1] | x[step]), observation weightsp(y[step + 1] | x[step + 1]), and/or a backwards or 'L'-kernelL(x[step] | x[step + 1]). The (log) normalization constant of the weights is interpreted as the incremental (log) marginal likelihood. </td> </tr><tr> <td>resample_fn</td> <td> Resampling scheme specified as acallablewith signatureindices = resample_fn(log_probs, event_size, sample_shape, seed), wherelog_probsis aTensorof the same shape asstate.log_weightscontaining a normalized log-probability for every current particle,event_sizeis the number of new particle indices to generate,sample_shapeis the number of independent index sets to return, and the return valueindicesis anintTensor of shapeconcat([sample_shape, [event_size, B1, ..., BN]). Typically one of <a href="../../../tfp/experimental/mcmc/resample_deterministic_minimum_error"><code>tfp.experimental.mcmc.resample_deterministic_minimum_error</code></a>, <a href="../../../tfp/experimental/mcmc/resample_independent"><code>tfp.experimental.mcmc.resample_independent</code></a>, <a href="../../../tfp/experimental/mcmc/resample_stratified"><code>tfp.experimental.mcmc.resample_stratified</code></a>, or <a href="../../../tfp/experimental/mcmc/resample_systematic"><code>tfp.experimental.mcmc.resample_systematic</code></a>. Default value: <a href="../../../tfp/experimental/mcmc/resample_systematic"><code>tfp.experimental.mcmc.resample_systematic</code></a>. </td> </tr><tr> <td>resample_criterion_fn</td> <td> optional Pythoncallablewith signaturedo_resample = resample_criterion_fn(weighted_particles), passed an instance of <a href="../../../tfp/experimental/mcmc/WeightedParticles"><code>tfp.experimental.mcmc.WeightedParticles</code></a>. The return valuedo_resampledetermines whether particles are resampled at the current step. The default behavior is to resample particles when the effective sample size falls below half of the total number of particles. Default value: <a href="../../../tfp/experimental/mcmc/ess_below_threshold"><code>tfp.experimental.mcmc.ess_below_threshold</code></a>. </td> </tr><tr> <td>seed</td> <td> Optional Python integer to seed the random number generator. </td> </tr><tr> <td>name</td> <td> Pythonstr` name for ops created by this kernel.

is_calibrated Returns True if Markov chain converges to specified distribution.

TransitionKernels which are "uncalibrated" are often calibrated by composing them with the tfp.mcmc.MetropolisHastings TransitionKernel.

name

propose_and_update_log_weights_fn

resample_criterion_fn

resample_fn

seed

Methods

bootstrap_results

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bootstrap_results(
    init_state
)

Returns an object with the same type as returned by one_step(...)[1].

Args
init_state Tensor or Python list of Tensors representing the initial state(s) of the Markov chain(s).

Returns
kernel_results A (possibly nested) tuple, namedtuple or list of Tensors representing internal calculations made within this function.

copy

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copy(
    **override_parameter_kwargs
)

Non-destructively creates a deep copy of the kernel.

Args
**override_parameter_kwargs Python String/value dictionary of initialization arguments to override with new values.

Returns
new_kernel TransitionKernel object of same type as self, initialized with the union of self.parameters and override_parameter_kwargs, with any shared keys overridden by the value of override_parameter_kwargs, i.e., dict(self.parameters, **override_parameters_kwargs).

one_step

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one_step(
    state, kernel_results, seed=None
)

Takes one Sequential Monte Carlo inference step.

Args
state instance of tfp.experimental.mcmc.WeightedParticles representing the current particles with (log) weights. The log_weights must be a float Tensor of shape [num_particles, b1, ..., bN]. The particles may be any structure of Tensors, each of which must have shape concat([log_weights.shape, event_shape]) for some event_shape, which may vary across components.
kernel_results instance of tfp.experimental.mcmc.SequentialMonteCarloResults representing results from a previous step.
seed Optional Python integer to seed the random number generator. If provided, overrides the class-level seed set in __init__.

Returns
state instance of tfp.experimental.mcmc.WeightedParticles representing new particles with (log) weights.
kernel_results instance of tfp.experimental.mcmc.SequentialMonteCarloResults.