tfp.mcmc.NoUTurnSampler

Runs one step of the No U-Turn Sampler.

Inherits From: TransitionKernel

Used in the notebooks

Used in the tutorials

The No U-Turn Sampler (NUTS) is an adaptive variant of the Hamiltonian Monte Carlo (HMC) method for MCMC. NUTS adapts the distance traveled in response to the curvature of the target density. Conceptually, one proposal consists of reversibly evolving a trajectory through the sample space, continuing until that trajectory turns back on itself (hence the name, 'No U-Turn'). This class implements one random NUTS step from a given current_state. Mathematical details and derivations can be found in [Hoffman, Gelman (2011)][1] and [Betancourt (2018)][2].

The one_step function can update multiple chains in parallel. It assumes that a prefix of leftmost dimensions of current_state index independent chain states (and are therefore updated independently). The output of target_log_prob_fn(*current_state) should sum log-probabilities across all event dimensions. Slices along the rightmost dimensions may have different target distributions; for example, current_state[0][0, ...] could have a different target distribution from current_state[0][1, ...]. These semantics are governed by target_log_prob_fn(*current_state). (The number of independent chains is tf.size(target_log_prob_fn(*current_state)).)

References

[1]: Matthew D. Hoffman, Andrew Gelman. The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo. 2011. https://arxiv.org/pdf/1111.4246.pdf

[2]: Michael Betancourt. A Conceptual Introduction to Hamiltonian Monte Carlo. arXiv preprint arXiv:1701.02434, 2018. https://arxiv.org/abs/1701.02434

target_log_prob_fn Python callable which takes an argument like current_state (or *current_state if it's a list) and returns its (possibly unnormalized) log-density under the target distribution.
step_size Tensor or Python list of Tensors representing the step size for the leapfrog integrator. Must broadcast with the shape of current_state. Larger step sizes lead to faster progress, but too-large step sizes make rejection exponentially more likely. When possible, it's often helpful to match per-variable step sizes to the standard deviations of the target distribution in each variable.
max_tree_depth Maximum depth of the tree implicitly built by NUTS. The maximum number of leapfrog steps is bounded by 2**max_tree_depth i.e. the number of nodes in a binary tree max_tree_depth nodes deep. The default setting of 10 takes up to 1024 leapfrog steps.
max_energy_diff Scaler threshold of energy differences at each leapfrog, divergence samples are defined as leapfrog steps that exceed this threshold. Default to 1000.
unrolled_leapfrog_steps The number of leapfrogs to unroll per tree expansion step. Applies a direct linear multipler to the maximum trajectory length implied by max_tree_depth. Defaults to 1.
parallel_iterations The number of iterations allowed to run in parallel. It must be a positive integer. See tf.while_loop for more details.
seed Python integer to seed the random number generator. Deprecated, pass seed to tfp.mcmc.sample_chain.
name Python str name prefixed to Ops created by this function. Default value: None (i.e., 'nuts_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.

max_energy_diff

max_tree_depth

name

parallel_iterations

parameters

read_instruction

step_size

target_log_prob_fn

unrolled_leapfrog_steps

write_instruction

Methods

bootstrap_results

View source

Creates initial previous_kernel_results using a supplied state.

copy

View source

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

View source

Takes one step of the TransitionKernel.

Must be overridden by subclasses.

Args
current_state Tensor or Python list of Tensors representing the current state(s) of the Markov chain(s).
previous_kernel_results A (possibly nested) tuple, namedtuple or list of Tensors representing internal calculations made within the previous call to this function (or as returned by bootstrap_results).
seed Optional, a seed for reproducible sampling.

Returns
next_state Tensor or Python list of Tensors representing the next state(s) of the Markov chain(s).
kernel_results A (possibly nested) tuple, namedtuple or list of Tensors representing internal calculations made within this function.