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Basic rewrite of the package 2023 edition Part I: ADVI #49

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merged 213 commits into from
Dec 8, 2023

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Hi, this is a partial pull request for #45.

The content of Part I is as follows:

Roadmap

  • Change the gradient computation interface such that different algorithms can directly manipulate the gradients.
  • Migrate to the LogDensityProblems interface.
  • Use the ADTypes interface.
  • Use Functor.jl for flattening/unflattening variational parameters.
  • Add more interfaces for calling optimize. (see Missing API method  #32 )
  • Migrate to Optimisers.jl.
  • Add callback option (Callback function during training #5)
  • Add control variate interface
  • Tests

Notes

  • The following pull request will include the general LocationScale variational family (Part II) and the documentation (Part III).
  • The current version uses the DistributionsAD.TuringDiagMvNormal variational family for running the tests.
  • Please refer to the original master pull request (Basic rewrite of the package 2023 edition #45) for the full set of discussions.

This is to avoid having to reconstruct transformed distributions all
the time. The direct use of bijectors also avoids going through lots
of abstraction layers that could break.

Instead, transformed distributions could be constructed only once when
returing the VI result.
- Full Monte Carlo ELBO estimation now works. I checked.
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yebai commented Nov 10, 2023

@torfjelde @Red-Portal This PR already looks good; let's try to get this PR merged in the next two weeks.

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@torfjelde @yebai As discussed, I've removed the parts directly interacting with Bijectors. I think it's ready for another review pass. (Hopeful that we're close to being done for this PR!)

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yebai commented Dec 4, 2023

@torfjelde a reminder on this.

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Having a proper look now:)

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I've added a few more comments, most of which should be quick accepts.

There's one one argument ordering of reparam_with_entropy that is potentially "discussable", but it should be a simple change if you accept it.

So. I think the time as come 👀

I am ready accept the PR 🙏

But this is really great work @Red-Portal 👏 And thank you so much for your persistence and just continuously chipping away ❤️ It must have been a pain, but I do think the PR is a much better state now than when we started, so it's been worth it:)

using ..ReverseDiff
end

# ReverseDiff without compiled tape
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Can we not handle compiled tape?

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I'll look into it.

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@Red-Portal Red-Portal merged commit 576259a into TuringLang:master Dec 8, 2023
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@yebai yebai mentioned this pull request Dec 22, 2023
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@Red-Portal Red-Portal deleted the rewriting_advancedvi_optimize branch September 10, 2024 04:02
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4 participants